221 results in 65Cxx
Markov Chain Monte Carlo for Computing Rare-Event Probabilities for a Heavy-Tailed Random Walk
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- Journal of Applied Probability / Volume 51 / Issue 2 / June 2014
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- 19 February 2016, pp. 359-376
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- June 2014
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Exact Simulation for Diffusion Bridges: An Adaptive Approach
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- Journal of Applied Probability / Volume 51 / Issue 2 / June 2014
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- 19 February 2016, pp. 346-358
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- June 2014
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Error Bounds and Normalising Constants for Sequential Monte Carlo Samplers in High Dimensions
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- Advances in Applied Probability / Volume 46 / Issue 1 / March 2014
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- 22 February 2016, pp. 279-306
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- March 2014
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Efficient Simulation of Large Deviation Events for Sums of Random Vectors Using Saddle-Point Representations
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- Journal of Applied Probability / Volume 50 / Issue 3 / September 2013
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- 30 January 2018, pp. 703-720
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- September 2013
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Overlap Problems on the Circle
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- Advances in Applied Probability / Volume 45 / Issue 3 / September 2013
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- 04 January 2016, pp. 773-790
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- September 2013
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Corrigendum: On the use of a discrete form of the Itô formula in the article ‘Almost sure asymptotic stability analysis of the $\theta $-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations’
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- LMS Journal of Computation and Mathematics / Volume 16 / October 2013
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- 01 September 2013, pp. 366-372
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Improving the Asmussen–Kroese-Type Simulation Estimators
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- Journal of Applied Probability / Volume 49 / Issue 4 / December 2012
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- 30 January 2018, pp. 1188-1193
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- December 2012
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Optimal Design of Dynamic Default Risk Measures
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- Journal of Applied Probability / Volume 49 / Issue 4 / December 2012
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- 30 January 2018, pp. 967-977
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- December 2012
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Rare-Event Simulation of Heavy-Tailed Random Walks by Sequential Importance Sampling and Resampling
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- Advances in Applied Probability / Volume 44 / Issue 4 / December 2012
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- 04 January 2016, pp. 1173-1196
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- December 2012
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The Convergence Rate and Asymptotic Distribution of the Bootstrap Quantile Variance Estimator for Importance Sampling
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- Advances in Applied Probability / Volume 44 / Issue 3 / September 2012
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- 04 January 2016, pp. 815-841
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- September 2012
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Approximate Sampling Formulae for General Finite-Alleles Models of Mutation
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- Advances in Applied Probability / Volume 44 / Issue 2 / June 2012
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- 04 January 2016, pp. 408-428
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- June 2012
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Closed-Form Asymptotic Sampling Distributions under the Coalescent with Recombination for an Arbitrary Number of Loci
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- Advances in Applied Probability / Volume 44 / Issue 2 / June 2012
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- 04 January 2016, pp. 391-407
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- June 2012
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Almost sure asymptotic stability analysis of the θ-Maruyama method applied to a test system with stabilising and destabilising stochastic perturbations
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- LMS Journal of Computation and Mathematics / Volume 15 / May 2012
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- 01 April 2012, pp. 71-83
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Numerical Methods for the Exit Time of a Piecewise-Deterministic Markov Process
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- Advances in Applied Probability / Volume 44 / Issue 1 / March 2012
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- 04 January 2016, pp. 196-225
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- March 2012
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On the Monitoring Error of the Supremum of a Normal Jump Diffusion Process
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- Journal of Applied Probability / Volume 48 / Issue 4 / December 2011
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- 14 July 2016, pp. 1021-1034
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- December 2011
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Efficient Estimation of One-Dimensional Diffusion First Passage Time Densities via Monte Carlo Simulation
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- Journal of Applied Probability / Volume 48 / Issue 3 / September 2011
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- 14 July 2016, pp. 699-712
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- September 2011
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A comparison of cross-entropy and variance minimization strategies
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 183-194
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- August 2011
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Exact simulation of the stationary distribution of the FIFO M/G/c queue
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 209-213
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- August 2011
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On exact sampling of stochastic perpetuities
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- Journal of Applied Probability / Volume 48 / Issue A / August 2011
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- 14 July 2016, pp. 165-182
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- August 2011
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Efficient Simulation for the Maximum of Infinite Horizon Discrete-Time Gaussian Processes
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- Journal of Applied Probability / Volume 48 / Issue 2 / June 2011
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- 14 July 2016, pp. 467-489
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- June 2011
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