Monte Carlo Methods and Applications
Volume 10, 2004

Contents

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Number 1, pp.1-94

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


Number 2, pp.95-181

Nicolas Fournier and Jean-Sebastien Giet
Exact simulation of nonlinear coagulation processes
95

Yuko Ichikawa and Makoto Mori
Discrepancy of van der Corput sequences generated by piecewise linear transformations
107

Michael Khazen and Arie Dubi
Monte Carlo variance reduction in applications to Systems Reliability using Phase Space Splitting
117

Dominique LEPINGLE and NGUYEN Thi Thao
Approximating and Simulating Multivalued Stochastic Differential Equations
129

N. Suciu and C. Vamos
Numerical Modeling of Large Scale Transport of Contminant Solutes Using the Global Random Walk Algorithm
153


Number 3-4, pp.183655

Selection of papers presented at
IV IMACS Seminar on Monte Carlo Methods
Berlin, September, 1519, 2003

An outline of quasi-probability. Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically
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


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