Monte Carlo Methods and Applications
Volume 13, 2007

Contents

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Number 1, pp.1-97

M. L. Huang, M. Pollanen and W. K. Yuen
An Efficient Randomized Quasi-Monte Carlo Algorithm for the Pareto Distribution
1-20

Saralees Nadarajah
Comparison of Time-to-Event Data for Clinical Trials
21-35

Gilles Pages
Multi-step Richardson-Romberg Extrapolation: Remarks on Variance Control and Complexity
37-70

K. Sabelfeld, A. Levykin and T. Privalova
A Fast Stratified Sampling Simulation of Coagulation Processes
71-88

Ilya M. Sobol' and Boris V. Shukhman
On Global Sensitivity Indices: Monte Carlo Estimates Affected by Random Errors
89-97


Number 2, pp.99-171

Shigeyoshi Ogawa and Koji Wakayama
On a real-time scheme for the estimation of volatility
99-116

Christian Roth
Weak approximations of solutions of a first order hyperbolic stochastic partial differential equation
117-133

Benjamin Jourdain and Mohamed Sbai
Exact retrospective Monte Carlo computation of arithmetic average Asian options
135-171


Number 3, pp.195-252

Hossein Arsham
Monte Carlo Techniques for Parametric Finite Multidimensional Integral Equations
173-195

Reiichiro Kawai
Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
197-217

Trifon I. Missov
Integral Evaluation Using the \Delta^2-distribution. Simulation and Illustration
219-225

V. Nekrutkin and M. Samakhova
Admissible and Asymptotically Optimal Linear Congruential Generators
227-244

K. P. Vidya
Pollard's rho attack on ECDLP and Threshold Schemes
245-252


Number 4, pp.253-331

Francesc Castro, Gustavo Patow, Mateu Sbert and John H. Halton
Fast GPU-based reuse of paths in radiosity
253-273

A. D. Egorov
Approximations for expectations of functionals of solutions to
stochastic differential equations
275-285

V. Malyutin
On approximation of matrix valued functional integrals
287-298

M. Nedjalkov, D. Vasileska, I. Dimov and G. Arsov
Mixed initial-boundary value problem in particle modeling of microelectronic devices
299-331


Number 5-6, pp.333-483

 A. A. Gormin and Y. N. Kashtanov
The weighted variance minimization for options pricing
333-351

Wilfried Grecksch and Christian Roth
A quasilinear stochastic partial differential equation driven by fractional white noise
353-367

C. Lecot and A. Tarhini
A quasi-stochastic simulation of the general dynamics equation for aerosols
369-388

Saralees Nadarajah
Skewed distributions generated by the Student's t kernel
389-404

Karl Sabelfeld
Expansion of random boundary excitations for elliptic PDEs
405-453

I. M. Sobol' and E. E. Myshetskaya
Monte Carlo estimators for small sensitivity indices
455-465

Anton Voytishek, Alexandr Myasnikov and Leonid Saneev
A use of algorithms for numerical modeling of order statistics
467-483


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