Volume 10, 2004

*Bouhari Arouna*

Adaptative Monte Carlo Method, A Variance Reduction Technique

1

*Benjamin Seibold*

Optimal Prediction in Molecular Dynamics

25

*Jean-Luc Akian and Bénédicte Puig*

Some results of error evaluation for a non-Gaussian simulation method

51

*Bénédicte Puig and Fabrice Poirion*

White noise and simulation of ordinary Gaussian processes

69

*Nicolas Fournier and Jean-Sebastien Giet
*Exact simulation of nonlinear coagulation processes

95

107

129

*N. Suciu and C. Vamos*

Numerical Modeling of Large Scale Transport of Contminant Solutes Using the Global Random Walk
Algorithm

153

Selection of papers presented at

IV IMACS Seminar on Monte Carlo Methods

Berlin, September, 15–19, 2003

John Halton

183

QMC techniques for CAT bond pricing

Hansjorg Albrecher, Jurgen Hartinger and Robert F. Tichy

197

Parallel Quasi-Monte Carlo Methods for Linear Algebra Problems

V. Alexandrov, E. Atanassov and I. Dimov

213

Algorithm of statistical simulation of dynamic systems with distributed
change of structure

T.A. Averina

221

Frequency Analysis of Semiconductor Devices Using Full-Band Cellular
Monte Carlo Simulations

J. Branlard, S. Aboud, P. Osuch, S. Goodnick and M. Saraniti

227

The q-Maruyama scheme for stochastic functional differential equations
with distributed memory term

Evelyn Buckwar

235

Subdiffusion and Superdiffusion in Lagrangian Stochastic Models
of Oceanic Transport

Emilio Castronovo and Peter R. Kramer

245

Approximations of functional integrals with respect to measure
generated by solutions of stochastic differential equations

A.D. Egorov, A.V. Zherelo

257

Normalization of spectral test in high dimensions

Karl Entacher, Gerold Laimer, Harald R.ock and Andreas Uhl

265

A spectral Monte Carlo method for the Poisson equation

Emmanuel Gobet and Sylvain Maire

275

Convergence rate for spherical processes with shifted centres

N. Golyandina

287

On the Power of Quantum Algorithms for Vector Valued Mean Computation

Stefan Heinrich

297

Parallel Quasirandom Walks on the Boundary

Aneta Karaivanova, Michael Mascagni and Nikolai A. Simonov

311

Trajectory splitting by restricted replication

Alexander Keller

321

Upper Bounds for Bermudan Style Derivatives

A. Kolodko and J. Schoenmakers

331

Stochastic Eulerian model for the flow simulation in porous media.
Unconfined aquifers

D. Kolyukhin and K. Sabelfeld

345

Solution of the Space-dependent Wigner Equation Using a Particle Model

H. Kosina, M. Nedjalkov and S. Selberherr

359

Subgrid Modeling of Filtration in a Porous Medium with Multiscale
Log-Stable permeability

G.A. Kuzmin and O.N. Soboleva

369

Comparison of Quasi-Monte Carlo-Based Methods for Simulation
of Markov Chains

Christian Lecot and Bruno Tuffin

377

Monte Carlo methods for fissured porous media: a gridless approach

Antoine Lejay

385

Smoothed Transformed Density Rejection

J. Leydold and W. Hormann

393

Adaptive adjoint Monte Carlo simulation for the uncertainty

M. Magolu monga Made, O.F. Smidts and A. Dubus

403

A Nuclear Measurement Technique of Water Penetration in Concrete Barriers

M. Marseguerra, E. Padovani, E. Zio, F. Giacobbo E. Patelli

415

System availability and reliability analysis by direct Monte Carlo with biasing

Marzio Marseguerra, Enrico Zio and Francesco Bosi

423

On the Scrambled Halton Sequence

Michael Mascagni and Hongmei Chi

435

Monte Carlo simulation of the chord length distribution function across
convex bodies, non-convex bodies and random media

Alain Mazzolo and Benoit Roesslinger

443

Discrepancy of sequences generated by dynamical system

Makoto Mori

455

Operator-Split Method for Variance Reduction in Stochastic Solutions
of the Wigner Equation

M.Nedjalkov, E. Atanassov, H.Kosina and S. Selberherr

461

Two variants of a stochastic Euler method for homogeneous
balance differential equations

V. Nekrutkin and P. Potapov

469

Full band Monte Carlo simulation - beyond the semiclassical approach

Hans-Erik Nilsson, Antonio Martinez and Mats Hjelm

481

Coin Tossing Algorithms for Integral Equations and Tractability

Erich Novak and Harald Pfeiffer

491

Optimal Korobov Coefficients for Good Lattice Points
in Quasi Monte Carlo Algorithms

R. Y. Papancheva

499

A theoretical view on transforming low-discrepancy sequences from a cube
to a simplex

Tim Pillards and Ronald Cools

511

Weighted simulation of steady-state transport within the standard
Monte Carlo paradigm

Stefano Portolan, Rita C. Iotti and Fausto Rossi

531

Dynamic probabilistic method of numerical modeling of multidimensional
hydrometeorological fields

Protasov A.V., Ogorodnikov V.A.

541

Quasirandom Sequences in Branching Random Walks

Abdujabor Rasulov, Aneta Karaivanova and Michael Mascagni

551

Discrete random walk over large spherical grids generated by spherical means
for PDEs

Karl Sabelfeld and Irina Shalimova

559

Reusing paths in radiosity and global illumination

Mateu Sbert, Philippe Bekaert and John Halton

575

Measures of uniform distribution in wavelet based image compression

Thomas Schell, Andreas Uhl and Peter Zinterhof

587

Random Walk Algorithms for Estimating Effective Properties of Digitized
Porous Media

N. A. Simonov and M. Mascagni

599

Security of Pseudo-random Generator and Monte Carlo Method

Hiroshi Sugita

609

Randomization of Quasi-Monte Carlo Methods for Error Estimation:
Survey and Normal Approximation

Bruno Tuffin

617

Monte Carlo Simulation of Narrow-Width SOI Devices:
Incorporation of the Short Range Coulomb Interaction

Dragica Vasileska and Shaikh S. Ahmed

629

Dagger-sampling variance reduction in Monte Carlo reliability analysis

E. Zio, A. Cammi and A. Cioncolini

641