All Stories

  1. Sampling and Change of Measure for Monte Carlo Integration on Simplices
  2. A recursive representation for decoupling time-state dependent jumps from jump-diffusion processes
  3. Monte Carlo and variance reduction methods for structural reliability analysis: A comprehensive review
  4. Dynamic Finite-Budget Allocation of Stratified Sampling with Adaptive Variance Reduction by Strata
  5. Adaptive radial importance sampling under directional stratification
  6. The Gerber-Shiu discounted penalty function: A review from practical perspectives
  7. Adaptive stratified sampling for structural reliability analysis
  8. Numerical methods for backward stochastic differential equations: A survey
  9. Dimension dependent properties of subdiffusions in damping force fields from an inference perspective
  10. Batching adaptive variance reduction
  11. Moment and polynomial bounds for ruin-related quantities in risk theory
  12. Iterative Weak Approximation and Hard Bounds for Switching Diffusion
  13. A decoupling principle for Markov-modulated chains
  14. Super- and subdiffusive positions in fractional Klein–Kramers equations
  15. Time-squeezing and time-expanding transformations in harmonic force fields
  16. A general approach to sample path generation of infinitely divisible processes via shot noise representation
  17. Numerical aspects of shot noise representation of infinitely divisible laws and related processes
  18. Adaptive importance sampling and control variates
  19. Asymptotic degeneracy and subdiffusivity
  20. Computable Primal and Dual Bounds for Stochastic Control
  21. Analytic model for transient anomalous diffusion with highly persistent correlations
  22. Optimal statistical inference for subdiffusion processes
  23. SMOOTH UPPER BOUNDS FOR THE PRICE FUNCTION OF AMERICAN STYLE OPTIONS
  24. Optimizing Adaptive Importance Sampling by Stochastic Approximation
  25. Polynomial upper and lower bounds for financial derivative price functions under regime-switching
  26. Adaptive importance sampling Monte Carlo simulation for general multivariate probability laws
  27. Cusping, transport and variance of solutions to generalized Fokker–Planck equations
  28. Solving Multidimensional Fractional Fokker--Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes
  29. Acceleration on Adaptive Importance Sampling with Sample Average Approximation
  30. Higher Order Fractional Stable Motion: Hyperdiffusion with Heavy Tails
  31. Anomalous spreading and misidentification of spatial random walk models
  32. Explicit hard bounding functions for boundary value problems for elliptic partial differential equations
  33. Sample Path Generation of Lévy-Driven Continuous-Time Autoregressive Moving Average Processes
  34. Solution Bounds for Elliptic Partial Differential Equations via Feynman-Kac Representation
  35. Measuring Impact of Random Jumps Without Sample Path Generation
  36. On the likelihood function of small time variance Gamma Lévy processes
  37. Numerical inverse Lévy measure method for infinite shot noise series representation
  38. Computation of Greeks for asset price dynamics driven by stable and tempered stable processes
  39. Fisher Information for Fractional Brownian Motion Under High-Frequency Discrete Sampling
  40. On Weak Approximation of Stochastic Differential Equations through Hard Bounds by Mathematical Programming
  41. Local asymptotic normality for normal inverse Gaussian Lévy processes with high-frequency sampling
  42. Nonnegative compartment dynamical system modelling with stochastic differential equations
  43. Local Asymptotic Normality Property for Ornstein–Uhlenbeck Processes with Jumps Under Discrete Sampling
  44. Continuous-time modeling of random searches: statistical properties and inference
  45. Sampling rate of spatial stochastic processes with independent components in modeling random search paths
  46. Multi-scale properties of random walk models of animal movement: lessons from statistical inference
  47. Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
  48. On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws
  49. Likelihood ratio gradient estimation for Meixner distribution and Lévy processes
  50. On finite truncation of infinite shot noise series representation of tempered stable laws
  51. An optimization approach to weak approximation of stochastic differential equations with jumps
  52. On the local asymptotic behavior of the likelihood function for Meixner Lévy processes under high-frequency sampling
  53. On simulation of tempered stable random variates
  54. A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization
  55. Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
  56. GREEKS FORMULAS FOR AN ASSET PRICE MODEL WITH GAMMA PROCESSES
  57. Computation of Greeks and Multidimensional Density Estimation for Asset Price Models with Time-Changed Brownian Motion
  58. Asymptotically optimal allocation of stratified sampling with adaptive variance reduction by strata
  59. Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations
  60. An Optimization Approach to Weak Approximation of Lévy-Driven Stochastic Differential Equations
  61. Sensitivity analysis for averaged asset price dynamics with gamma processes
  62. An optimization approach to weak approximation of Lévy-driven stochastic differential equations with application to option pricing
  63. A multivariate Lévy process model with linear correlation
  64. SENSITIVITY ANALYSIS AND DENSITY ESTIMATION FOR THE HOBSON-ROGERS STOCHASTIC VOLATILITY MODEL
  65. Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
  66. Adaptive Monte Carlo Variance Reduction for Lévy Processes with Two-Time-Scale Stochastic Approximation
  67. On layered stable processes
  68. Adaptive Monte Carlo Variance Reduction with Two-time-scale Stochastic Approximation
  69. On fractional tempered stable motion
  70. An importance sampling method based on the density transformation of Lévy processes
  71. An importance sampling method based on the density transformation of Lévy processes