Volume 7, 2001

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

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