Monte Carlo Methods and Applications最新文献

{"title":"Asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system","authors":"Yasmina Djabali, Sedda Hakmi, Nabil Zougab, D. Aïssani","doi":"10.1515/mcma-2023-2023","DOIUrl":"https://doi.org/10.1515/mcma-2023-2023","url":null,"abstract":"Abstract This paper proposes the nonparametric asymmetric kernel method in the study of strong stability of the PH/M/1 queuing system, after perturbation of arrival distribution to evaluate the proximity of the complex GI/M/1 system, where GI is a unknown general distribution. The class of generalized gamma (GG) kernels is considered because of its several interesting properties and flexibility. A simulation for several models illustrates the performance of the GG asymmetric kernel estimators in the study of strong stability of the PH/M/1, by computing the variation distance and the stability error.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"47 5","pages":""},"PeriodicalIF":0.9,"publicationDate":"2023-12-13","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"138633054","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Random walk on spheres method for solving anisotropic transient diffusion problems and flux calculations","authors":"Irina Shalimova, Karl Sabelfeld","doi":"10.1515/mcma-2023-2022","DOIUrl":"https://doi.org/10.1515/mcma-2023-2022","url":null,"abstract":"Abstract The Random Walk on Spheres (RWS) algorithm for solving anisotropic transient diffusion problems based on a stochastic learning procedure for calculation of the exit position of the anisotropic diffusion process on a sphere is developed. Direct generalization of the Random Walk on Spheres method to anisotropic diffusion equations is not possible, therefore, we have numerically calculated the probability density for the exit position on a sphere. The first passage time is then represented explicitly. The method can easily be implemented to solve diffusion problems with spatially varying diffusion coefficients for complicated three-dimensional domains. Particle tracking algorithm is highly efficient for calculation of fluxes to boundaries. We apply the developed algorithm for solving an exciton transport in a semiconductor material with a threading dislocation where the measured functions are the exciton fluxes to the semiconductor’s substrate and on the dislocation surface.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"7 3","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-15","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"136226897","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"On the estimation of periodic signals in the diffusion process using a high-frequency scheme","authors":"Getut Pramesti, Ristu Saptono","doi":"10.1515/mcma-2023-2020","DOIUrl":"https://doi.org/10.1515/mcma-2023-2020","url":null,"abstract":"Abstract The estimation of the frequency component is very interesting to study, considering its unique nature when these parameters are together in their amplitude. The periodicity of the frequency components is also thought to affect the convergence of these parameters. In this paper, we consider the problem of estimating the frequency component of a periodic continuous-time sinusoidal signal. Under the high-frequency sampling setting, we provide the frequency components’ consistency and asymptotic normality. It is observed that the convergence rate of the continuous-time sinusoidal signal of the diffusion process is the same as the continuous-time sinusoidal signal of the Ornstein–Uhlenbeck process, which is mentioned in [G. Pramesti, Parameter least-squares estimation for time-inhomogeneous Ornstein–Uhlenbeck process, Monte Carlo Methods Appl. 29 (2023), 1, 1–32]. The result of this study deduces that the convergence rate of the frequency is the same as long as the signal is periodic. In this case, the existence of the rate of reversion does not affect the convergence rate of the frequency components. Further, the result of the study, that is, the convergence rate of the frequency is <m:math xmlns:m=\"http://www.w3.org/1998/Math/MathML\"> <m:msqrt> <m:msup> <m:mrow> <m:mo stretchy=\"false\">(</m:mo> <m:mrow> <m:mi>n</m:mi> <m:mo>⁢</m:mo> <m:mi>h</m:mi> </m:mrow> <m:mo stretchy=\"false\">)</m:mo> </m:mrow> <m:mn>3</m:mn> </m:msup> </m:msqrt> </m:math> sqrt{(nh)^{3}} , also revised the previous one in [G. Pramesti, The least-squares estimator of sinusoidal signal of diffusion process for discrete observations, J. Math. Comput. Sci. 11 (2021), 5, 6433–6443], which mentioned <m:math xmlns:m=\"http://www.w3.org/1998/Math/MathML\"> <m:msqrt> <m:mrow> <m:msup> <m:mrow> <m:mo stretchy=\"false\">(</m:mo> <m:mrow> <m:mi>n</m:mi> <m:mo>⁢</m:mo> <m:mi>h</m:mi> </m:mrow> <m:mo stretchy=\"false\">)</m:mo> </m:mrow> <m:mn>3</m:mn> </m:msup> <m:mo>⁢</m:mo> <m:mi>h</m:mi> </m:mrow> </m:msqrt> </m:math> sqrt{(nh)^{3}h} . The proposed approach is demonstrated with a ten-minute sampling rate of real data on the energy consumption of light fixtures in one Belgium household.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"2 5","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135041950","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Strong approximation of a two-factor stochastic volatility model under local Lipschitz condition","authors":"Emmanuel Coffie","doi":"10.1515/mcma-2023-2021","DOIUrl":"https://doi.org/10.1515/mcma-2023-2021","url":null,"abstract":"Abstract We establish theoretical properties of the solution to a two-variance-driven interest rate model with super-linear coefficient terms. Since this model is not tractable analytically, we construct an implementable numerical method to approximate it and prove the finite-time strong convergence theory under the local Lipschitz condition. Finally, we provide simulation examples to demonstrate the theoretical results.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"3 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-11","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135041948","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Stochastic simulation of electron transport in a strong electrical field in low-dimensional heterostructures","authors":"Evgeniya Kablukova, Karl K. Sabelfeld, Dmitry Protasov, Konstantin Zhuravlev","doi":"10.1515/mcma-2023-2019","DOIUrl":"https://doi.org/10.1515/mcma-2023-2019","url":null,"abstract":"Abstract In this paper we develop a stochastic simulation algorithm for electron transport in a DA-pHEMT heterostructure. Mathematical formulation of the problem of electron gas transport in the heterostructure in the form of a coupled system of Poisson, Schrödinger and kinetic Boltzmann equations is given. A Monte Carlo model of electron transport in DA-pHEMT heterostructures which accounts for multivalley parabolic band structure, as well as relevant formulas for calculating electron scattering rates and scattering phase functions on polar optical, intervalley phonons and on impurities are developed. The results of a computational experiment involving the solution of the system of Poisson–Schrödinger–Boltzmann equations for the AlGaAs / GaAs / InGaAs / GaAs / AlGaAs heterostructure are presented. The distribution of electrons by energy subband in the main and satellite valleys and the field dependences of the electron drift velocity in each valley are calculated. It was discovered that there is no spatial transfer of electrons into wide-gap AlGaAs layers due to high barriers created by modulated-doped impurities. A comparative analysis of the electron drift velocities in the studied DA-pHEMT heterostructures and in the unstrained layer of the InGaAs is given.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"97 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-11-01","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135216484","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Existence and uniqueness of solutions for perturbed stochastic differential equations with reflected boundary","authors":"Faiz Bahaj, Kamal Hiderah","doi":"10.1515/mcma-2023-2018","DOIUrl":"https://doi.org/10.1515/mcma-2023-2018","url":null,"abstract":"Abstract In this paper, under some suitable conditions, we prove existence of a strong solution and uniqueness for the perturbed stochastic differential equations with reflected boundary (PSDERB), that is, &lt;m:math xmlns:m=\"http://www.w3.org/1998/Math/MathML\"&gt; &lt;m:mrow&gt; &lt;m:mo&gt;{&lt;/m:mo&gt; &lt;m:mtable columnspacing=\"0pt\" displaystyle=\"true\" rowspacing=\"0pt\"&gt; &lt;m:mtr&gt; &lt;m:mtd columnalign=\"right\"&gt; &lt;m:mrow&gt; &lt;m:mi&gt;x&lt;/m:mi&gt; &lt;m:mo&gt;⁢&lt;/m:mo&gt; &lt;m:mrow&gt; &lt;m:mo stretchy=\"false\"&gt;(&lt;/m:mo&gt; &lt;m:mi&gt;t&lt;/m:mi&gt; &lt;m:mo stretchy=\"false\"&gt;)&lt;/m:mo&gt; &lt;/m:mrow&gt; &lt;/m:mrow&gt; &lt;/m:mtd&gt; &lt;m:mtd columnalign=\"left\"&gt; &lt;m:mrow&gt; 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&lt;m:mo stretchy=\"false\"&gt;)&lt;/m:mo&gt; &lt;/m:mrow&gt; &lt;/m:mrow&gt; &lt;m:mo maxsize=\"120%\" minsize=\"120%\"&gt;)&lt;/m:mo&gt; &lt;/m:mrow&gt; &lt;/m:mrow&gt; &lt;m:mo&gt;+&lt;/m:mo&gt; &lt;m:mrow&gt; &lt;m:mi&gt;β&lt;/m:mi&gt; &lt;m:mo&gt;⁢&lt;/m:mo&gt; &lt;m:mrow&gt; &lt;m:mo stretchy=\"false\"&gt;(&lt;/m:mo&gt; &lt;m:mi&gt;t&lt;/m:mi&gt; &lt;m:mo stretchy=\"false\"&gt;)&lt;/m:mo&gt; &lt;/m:mrow&gt; &lt;m:mo&gt;⁢&lt;/m:mo&gt; &lt;m:msubsup&gt; &lt;m:mi&gt;L&lt;/m:mi&gt; &lt;m:mi&gt;t&lt;/m:mi&gt; &lt;m:mn&gt;0&lt;/m:mn&gt; &lt;/m:msubsup&gt; &lt;m:mo&gt;⁢&lt;/m:mo&gt; &lt;m:mrow&gt; &lt;m:mo stretchy=\"false\"&gt;(&lt;/m:mo&gt; &lt;m:mi&gt;x&lt;/m:mi&gt; &lt;m:mo stretchy=\"false\"&gt;)&lt;/m:mo&gt; &lt;/m:mrow&gt; &lt;/m:mrow&gt; &lt;/m:mrow&gt; &lt;/m:mrow&gt; ","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"36 1-2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135220231","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A weight Monte Carlo estimation of fluctuations in branching processes","authors":"Vladimir Uchaikin, Elena Kozhemiakina","doi":"10.1515/mcma-2023-2015","DOIUrl":"https://doi.org/10.1515/mcma-2023-2015","url":null,"abstract":"Abstract It is well known that shortened modeling of particle trajectories with the use multiplicative statistical weights, as a rule, increases the efficiency of the program (in terms of accuracy/time ratio). This trick is often used in non-branching schemes simulating transfer processes without multiplication (for example, the transfer of X-ray radiation), in which it is sufficient to confine ourselves to studying only the average values of the field characteristics. With an increase in energy, however, multiplication processes begin to play a significant role (the production of electron-photon pairs by gamma quanta with energies above 1.022 MeV, etc.), when the resulting trajectory is not just a broken curve in the phase space, but a branched tree. This technique is also applicable to this process, but only if the study of statistical fluctuations and correlations is not the purpose of the calculation. The present review contains the basic concepts of the Monte Carlo method as applied to the theory of particle transport, demonstration of the weighting method in non-branching processes, and ends with a discussion of unbiased estimates of the second moment and covariance of additive functionals.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"10 2","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135220233","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Option pricing: Examples and open problems","authors":"Nikolaos Halidias","doi":"10.1515/mcma-2023-2014","DOIUrl":"https://doi.org/10.1515/mcma-2023-2014","url":null,"abstract":"Abstract There is no method of predicting the price of an option other than hedging strategies such as the binomial hedging strategy, the Black–Scholes hedging strategy and others. We will study these two basic hedging strategies in terms of their feasibility, and we will see that the Black–Scholes hedging strategy is not feasible because this strategy demands instantaneously rebuilding the replicating portfolio. Consequently, the real world prices of the options are not relevant at all with the Black–Scholes hedging strategy! We will suitably redefine the binomial hedging strategy so that it will be practically useful and present other feasible and generally more effective hedging strategies with some of them practically useful for options with no tradable underlying assets. Finally, we will mention some open questions related to the above.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"133 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-24","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135220234","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"Analysis of wall-modelled particle/mesh PDF methods for turbulent parietal flows","authors":"Guilhem Balvet, Jean-Pierre Minier, Yelva Roustan, Martin Ferrand","doi":"10.1515/mcma-2023-2017","DOIUrl":"https://doi.org/10.1515/mcma-2023-2017","url":null,"abstract":"Abstract Lagrangian stochastic methods are widely used to model turbulent flows. Scarce consideration has, however, been devoted to the treatment of the near-wall region and to the formulation of a proper wall-boundary condition. With respect to this issue, the main purpose of this paper is to present an in-depth analysis of such flows when relying on particle/mesh formulations of the probability density function (PDF) model. This is translated into three objectives. The first objective is to assess the existing an-elastic wall-boundary condition and present new validation results. The second objective is to analyse the impact of the interpolation of the mean fields at particle positions on their dynamics. The third objective is to investigate the spatial error affecting covariance estimators when they are extracted on coarse volumes. All these developments allow to ascertain that the key dynamical statistics of wall-bounded flows are properly captured even for coarse spatial resolutions.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"22 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-19","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135666713","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}

{"title":"A wavelet-based method in aggregated functional data analysis","authors":"Alex Rodrigo dos Santos Sousa","doi":"10.1515/mcma-2023-2016","DOIUrl":"https://doi.org/10.1515/mcma-2023-2016","url":null,"abstract":"Abstract In this paper, we consider aggregated functional data composed by a linear combination of component curves and the problem of estimating these component curves. We propose the application of a bayesian wavelet shrinkage rule based on a mixture of a point mass function at zero and the logistic distribution as prior to wavelet coefficients to estimate mean curves of components. This procedure has the advantage of estimating component functions with important local characteristics such as discontinuities, spikes and oscillations for example, due the features of wavelet basis expansion of functions. Simulation studies were done to evaluate the performance of the proposed method, and its results are compared with a spline-based method. An application on the so-called Tecator dataset is also provided.","PeriodicalId":46576,"journal":{"name":"Monte Carlo Methods and Applications","volume":"45 1","pages":"0"},"PeriodicalIF":0.0,"publicationDate":"2023-10-14","publicationTypes":"Journal Article","fieldsOfStudy":null,"isOpenAccess":false,"openAccessPdf":"","citationCount":null,"resultStr":null,"platform":"Semanticscholar","paperid":"135765975","PeriodicalName":null,"FirstCategoryId":null,"ListUrlMain":null,"RegionNum":0,"RegionCategory":"","ArticlePicture":[],"TitleCN":null,"AbstractTextCN":null,"PMCID":"","EPubDate":null,"PubModel":null,"JCR":null,"JCRName":null,"Score":null,"Total":0}