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Licensed Unlicensed Requires Authentication Published by De Gruyter May 9, 2008

Trajectory Splitting by Restricted Replication

  • Alexander Keller
From the journal Monte Carlo Methods and Applications
https://doi.org/10.1515/mcma.2004.10.3-4.321

New algorithms for efficient trajectory splitting are presented. These techniques are derived from randomized quasi-Monte Carlo integration by applying parameterized replication techniques to only selected dimensions of the integrand.

Published Online: 2008-05-09
Published in Print: 2004-12

© de Gruyter 2004

From the journal
Monte Carlo Methods and Applications
Monte Carlo Methods and Applications
Volume 10 Issue 3-4
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Articles in the same Issue

Foreword
An outline of quasi-probability*: Why quasi-Monte-Carlo methods are statistically valid and how their errors can be estimated statistically
QMC techniques for CAT bond pricing*
Parallel Quasi-Monte Carlo Methods for Linear Algebra Problems
Algorithm of statistical simulation of dynamic systems with distributed change of structure*
Frequency Analysis of Semiconductor Devices Using Full-Band Cellular Monte Carlo Simulations
The ⊝-Maruyama scheme for stochastic functional differential equations with distributed memory term*
Subdiffusion and Superdiffusion in Lagrangian Stochastic Models of Oceanic Transport
Approximations of functional integrals with respect to measures generated by solutions of stochastic differential equations
Normalization of the Spectral Test in High Dimensions
A spectral Monte Carlo method for the Poisson equation
Convergence rate for spherical processes with shifted centres*
On the Power of Quantum Algorithms for Vector Valued Mean Computation
Parallel Quasirandom Walks on the Boundary
Trajectory Splitting by Restricted Replication
Upper Bounds for Bermudan Style Derivatives
Stochastic Eulerian model for the flow simulation in porous media. Unconfined aquifers*
Solution of the Space-dependent Wigner Equation Using a Particle Model
Subgrid Modeling of Filtration in a Porous Medium with Multiscale Log-Stable permeability
Comparison of Quasi-Monte Carlo-Based Methods for Simulation of Markov Chains
Monte Carlo methods for fissured porous media: a gridless approach*
Smoothed Transformed Density Rejection*
Adaptive adjoint Monte Carlo simulation for the uncertainty
A Nuclear Measurement Technique of Water Penetration in Concrete Barriers
System availability and reliability analysis by direct Monte Carlo with biasing
On the Scrambled Halton Sequence
Monte-Carlo simulation of the chord length distribution function across convex bodies, non-convex bodies and random media
Discrepancy of sequences generated by dynamical system
Operator-Split Method for Variance Reduction in Stochastic Solutions of the Wigner Equation
Two variants of a stochastic Euler method for homogeneous balance differential equations*
Full band Monte Carlo simulation - beyond the semiclassical approach
Coin Tossing Algorithms for Integral Equations and Tractability
Optimal Korobov Coefficients for Good Lattice Points in Quasi Monte Carlo Algorithms
A theoretical view on transforming low-discrepancy sequences from a cube to a simplex
Weighted simulation of steady-state transport within the standard Monte Carlo paradigm
Dynamic probabilistic method of numerical modeling of multidimensional hydrometeorological fields
Quasirandom Sequences in Branching Random Walks*
Discrete random walk on large spherical grids generated by spherical means for PDEs*
Reusing paths in radiosity and global illumination
Measures of Uniform Distribution in Wavelet Based Image Compression
Random Walk Algorithms for Estimating Effective Properties of Digitized Porous Media*
Security of Pseudo-random Generator and Monte Carlo Method
Randomization of Quasi-Monte Carlo Methods for Error Estimation: Survey and Normal Approximation*
Monte Carlo Simulation of Narrow-Width SOI Devices: Incorporation of the Short Range Coulomb Interaction
Dagger-sampling variance reduction in Monte Carlo reliability analysis
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