Monte Carlo Methods and Applications
Volume 7, 2001

Contents

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Number 1-2, pp. 1-212

Selection of papers presented at the International Conference on:
Monte Carlo and Probabilistic Methods for Partial Differential Equations
MONTE CARLO (MONACO), July 3-5, 2000
Part I

Ch. Andrieu and A. Doucet
Optimal estimation of amplitude and phase modulated signals
1

K. Bahlali, B. Mezerdi and Y. Ouknine
Some generic properties in backward stochastid differential equations
15

V. Bally, G. Pages and J. Printems
A stochastic quantization method for nonlinear problems
21

P. Bernard and G. Fleury
Convergence of numerical schemes for stochastic differential equations
35

M. Bossy and B. Jourdain
A stochastic particle method for the solution of a 1D viscous scalar conservation law
45

A. de Bouard, A. Debussche and L. di Menza
Usage of the importance sample in Monthe Carlo methods 
55

F. Campillo and A. Lejay
A Monte Carlo method to compute the exchange coefficient in the double porosity model
65

M. Braverman and S. Gueron
A Monte Carlo algorithm for a lottery problem 
73

O. Cappe
Recursive computation of smoothed functionals of hidden Markovian processes using a particle approximation
81

E. Cepa and D. Lepingle
Interacting Brownian particles with strong repulsion
93

A.J. Chorin, O.H. Hald and R. Kupferman
Non-Markovian optimal prediction 
99

B.J. Christensen and R. Poulsen
Monte Carlo improvement of estimates of the mean-reverting constant elasticity of variance interest rate diffusion
111

H. Comman
A view on noncommutative large deviations from a theory of noncommutative capacities
125

C. Costantini
A simple variance reduction method with applications to finance and queueing theory 
131

M. Deaconu and E. Tanre
A generalization of the connection between the additive and pultiplicative solutions for the Smoluchowski's coagulation equation
141

X. Descombes, R. Stoica, L. Garcin and J. Zerubia
A RJMCMC algorithm for object processes in image processing
149

A. Eibeck and W. Wagner
Stochastic algorithms for studying coagulation dynamics and gelation phenomena
157

A. Figotin, A. Gordon, S. Molchanov, J. Quinn and N. Stavrakas
Generalized quantum statistics and testing of randomizers with and without asymptotic assumptions
167

N. Fournier and S. Meleard
Monte Carlo approximations for 2d homogeneous Boltzmann equations without cutoff and for non Maxwell molecules
177

E. Gobet
Efficient schemes for the weak approximation of reflected diffusions
193

S. Gueron and O. Zuk
On Scholuchowski equations for coagulation processes with multiple absorbing states
203


Number 3-4, pp. 213-424

Selection of papers presented at the International Conference on:
Monte Carlo and Probabilistic Methods for Partial Differential Equations
MONTE CARLO (MONACO), July 3-5, 2000
Part II

C.-O. Hwang and M. Mascagni
Rapid diffusion Monte Carlo algorithms for fluid dynamic permeability 
213

A. Kolodko and K. Sabelfeld
Stochastic Lagrangian model for spatially inhomogenious Smoluchowski equation governing coagulating and diffusing particles
223

P.R. Kramer
A review of some Monte Carlo simulation methods for turbulent systems
229

O.A. Kurbanmuradov, S.A. Orszag, K.K. Sabelfeld and P.K. Yeung
Analysis of relative dispersion of two particles by Lagrangian stochastic models and DNS methods 
245

A. Lejay
Weak solution of semi-linear PDE, BSDE and homogenization 
265

S. Lesage, J.-Y. Tourneret and P.M. Djuric
Classification of digital modulations using MCMC methods
273

M. Mascagni and A. Karaivanova
A quasi-Monte Carlo method for elliptic boundary value problems
283

J.-P. Minier
Probabilistic approach to turbulent two-phase flows modelling and simulation: theoretical and numerical issues 
295

N.J. Newton
Approximations for nonlinear filters based on quantisation 
311

S. Ogawa
On a class of SPDEs called Brownian particle equation
321

S. Olla
Diffusive behavior of interacting particle systems 
329

H. Osada
Tagged particles of interacting Brownian motions with skew symmetric drifts 
339

L. Pareschi and B. Wennberg
A recursive Monte Carlo method for the Boltzmann equation in the Maxwellian case 
349

J. Printems
On the discretization in time of parabolic stochastic partical differential equations 
359

K. Sabelfeld and I. Shalimova
Forward and backward stochastic Lagrangian models for turbulent transport and the well-mixed condition 
369

R. Sentis
Monte Carlo methods in neutron and photon transport problems 
383

E. Tinet, J.M. Tualle, D. Ettori and S. Avrillier
Real time transformation of pre-computed Monte Carlo results for fitting optical measurements in biomedical applications 
397

V. Wihstutz
Communication structure of discretized degenerate diffusion processes and approximation of Lyapunov exponents
411


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