The N-Armed Bandit with Unimodal Structure.
The time needed for estimation of a functional by the Monte Carlo method
Theoretical and numerical comparison of some sampling methods for molecular dynamics
The purpose of the present article is to compare different phase-space sampling methods, such as purely stochastic methods (Rejection method, Metropolized independence sampler, Importance Sampling), stochastically perturbed Molecular Dynamics methods (Hybrid Monte Carlo, Langevin Dynamics, Biased Random Walk), and purely deterministic methods (Nosé-Hoover chains, Nosé-Poincaré and Recursive Multiple Thermostats (RMT) methods). After recalling some theoretical convergence properties for the...
Three Digit Accurate Multiple Normal Probabilities.
Trend to equilibrium and particle approximation for a weakly selfconsistent Vlasov-Fokker-Planck equation
We consider a Vlasov-Fokker-Planck equation governing the evolution of the density of interacting and diffusive matter in the space of positions and velocities. We use a probabilistic interpretation to obtain convergence towards equilibrium in Wasserstein distance with an explicit exponential rate. We also prove a propagation of chaos property for an associated particle system, and give rates on the approximation of the solution by the particle system. Finally, a transportation inequality...
Un calcul probabiliste en génie civil. Évaluation de la probabilité de ruine des structures par une méthode de Monte-Carlo fondée sur une technique de conditionnement
Un método para la simulación de funciones aleatorias estacionarias de segundo orden.
A method is shown for the simulation in Rn of second order stationary random functions with given isotropic covariance. Particular solutions, ilustrated with examples, are provided in R1, R2 and R3.
Unit root testing in the presence of innovation variance breaks: a simple solution with increased power.
Using Monte Carlo Methods to Evaluate Sub-Optimal Exercise Policies for American Options
∗This research, which was funded by a grant from the Natural Sciences and Engineering Research Council of Canada, formed part of G.A.’s Ph.D. thesis [1].In this paper we use a Monte Carlo scheme to find the returns that an uninformed investor might expect from an American option if he followed one of several näıve exercise strategies rather than the optimal exercise strategy. We consider several such strategies that an ill-advised investor might follow. We also consider how the expected return...
Validity of the parametric bootstrap for goodness-of-fit testing in semiparametric models
In testing that a given distribution Pbelongs to a parameterized family , one is often led to compare a nonparametric estimateAn of some functional A of P with an element Aθn corresponding to an estimate θn of θ. In many cases, the asymptotic distribution of goodness-of-fit statistics derived from the process n1/2(An−Aθn) depends on the unknown distribution P. It is shown here that if the sequences An and θn of estimators are regular in some sense, a parametric bootstrap approach yields valid approximations...
Variance reduction in a stochastic volatility scenario.
Weighted Monte Carlo methods for approximate solution of a nonlinear Boltzmann equation.
Алгоритм блуждания по параллелепипедам для решения краевой задачи для дифференциального уравнения эллптического типа
Асимптотика сходимости дискретно-стохастических численных методов глобальной оценки решения интегрального уравнения второго рода.
Методы и программы генерирования случайных графов
Методы Монте-Карло для решения векторных и стохастических уравнений Геймгольца.
Нелинейное уравнение Больцмана, методы "с непрерывным временем" и некоторые общие конструкции методов Монте-Карло
Новые весовые "оценки по пробегу" в методе Монте-Карло
Об оценке смещения при расчетах ядерного реактора методом Монте-Карло с постоянным числом точек в поколении
Параметрическое дифференцирование и оценки собственных чисел методом Монте-Карло.