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ORCIDMonte Carlo Methods and Applications, Volume 19
Volume 19, Number 1, March 2013
- Colas Schretter
, Harald Niederreiter:
A direct inversion method for non-uniform quasi-random point sequences. 1-9 - Céline Labart, Jérôme Lelong:
A parallel algorithm for solving BSDEs. 11-39 - Pierre Etoré, Miguel Martinez:
Exact simulation of one-dimensional stochastic differential equations involving the local time at zero of the unknown process. 41-71 - Annika Lang, Jürgen Potthoff:
Erratum: Fast simulation of Gaussian random fields [Monte Carlo Methods Appl. 17(2011), 195-214]. 73-75
Volume 19, Number 2, July 2013
- Michael Mascagni, Lin-Yee Hin:
Parallel pseudo-random number generators: A derivative pricing perspective with the Heston stochastic volatility model. 77-105 - Lexuri Fernández, Peter Hieber, Matthias Scherer:
Double-barrier first-passage times of jump-diffusion processes. 107-141 - Richard V. Field Jr., Mircea Grigoriu, Clark R. Dohrmann:
An algorithm for on-the-fly generation of samples of non-stationary Gaussian processes based on a sampling theorem. 143-169
Volume 19, Number 3, September 2013
- Yury Kozachenko, Oleksandr Kurchenko, Olga Synyavska:
Levy-Baxter theorems for one class of non-Gaussian random fields. 171-182 - Anatoly Zherelo:
On convergence of the method based on approximately exact formulas for functional polynomials for calculation of expectations of functionals to solutions of stochastic differential equations. 183-199 - Sylvain Maire, Etienne Tanré:
Monte Carlo approximations of the Neumann problem. 201-236 - Junichi Imai:
Comparison of random number generators via Fourier transform. 237-259
Volume 19, Number 4, December 2013
- Hongmei Chi:
Generation of parallel modified Kronecker sequences. 261-271 - Xuewei Yang:
A new numerical scheme for a class of reflected stochastic differential equations. 273-279 - Davoud Rostamy, Mohammad Jabbari, Mahshid Gadirian:
Worst case error for integro-differential equations by a lattice-Nyström method. 281-330 - Tarik Ben Zineb, Emmanuel Gobet:
Preliminary control variates to improve empirical regression methods. 331-354
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