journal: Monte Carlo Methods and Applications

Impact Factor: 0.9

Veröffentlicht seit 1. Januar 1995

Monte Carlo Methods and Applications

ISSN: 1569-3961

Managing Editor: Karl K. Sabelfeld

Wissenschaftlicher Beirat: Kurt Binder, Nicolas Bouleau, Alexandre J. Chorin, Ivan Dimov, Alain Dubus, Alexander D. Egorov, Sergei M. Ermakov, John H. Halton, Stefan Heinrich, Chi-Ok Hwang, Malvin H. Kalos, Dmitry R. Kolyukhin, D. Lepingle, Yaohang Li, Roman Makarov, Michael Mascagni, Peter Mathe, Harald Niederreiter, Giray Ökten , Shigeyoshi Ogawa, Eckhard Platen, Brian R. Sawford, Wolfgang Ch. Schmid, John Schoenmakers, Irina A. Shalimova, Ilya M. Sobol, Jerry Spanier, Denis Talay, Wolfgang Wagner

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Über diese Zeitschrift

Objective
Monte Carlo Methods and Applications is a quarterly published journal that presents original articles on the theory and applications of Monte Carlo and Quasi-Monte Carlo methods. Launched in 1995 the journal covers all stochastic numerics topics with emphasis on the theory of Monte Carlo methods and new applications in all branches of science and technology. Stochastic models in all fields of applied sciences, in particular turbulence, rarefied gas dynamics and nanotechnology, bioscience, medicine, chemical kinetics and combustion, stochastic models in mathematical finance

Topics

Theory of Monte Carlo methods
Quasi-Monte Carlo methods
Integration
Boundary value problems for PDE's
Numerics of stochastic differential equations
Simulation of random variables, stochastic processes and fields

Article formats
Research articles

> Information on submission process

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Band 29 Heft 4

Dezember 2023

Öffentlich zugänglich 1. Dezember 2023

Frontmatter

Seiten: i-iv

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19. Oktober 2023

Analysis of wall-modelled particle/mesh PDF methods for turbulent parietal flows

Guilhem Balvet, Jean-Pierre Minier, Yelva Roustan, Martin Ferrand

Seiten: 275-305

Mehr

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.

1. November 2023

Stochastic simulation of electron transport in a strong electrical field in low-dimensional heterostructures

Evgeniya Kablukova, Karl K. Sabelfeld, Dmitry Protasov, Konstantin Zhuravlev

Seiten: 307-322

Mehr

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.

4. Oktober 2023

Randomized vector iterative linear solvers of high precision for large dense system

Karl K. Sabelfeld, Anastasiya Kireeva

Seiten: 323-332

Mehr

Abstract

In this paper we suggest randomized linear solvers with a focus on refinement issue to achieve a high precision while maintaining all the advantages of the Monte Carlo method for solving systems of large dimension with dense matrices. It is shown that each iterative refinement step reduces the error by one order of magnitude. The crucial point of the suggested method is, in contrast to the standard Monte Carlo method, that the randomized vector algorithm computes the entire solution column at once, rather than a single component. This makes it possible to efficiently construct the iterative refinement method. We apply the developed method for solving a system of elasticity equations.

1. August 2023

On the stationarity and existence of moments of the periodic EGARCH process

Ines Lescheb, Walid Slimani

Seiten: 333-350

Mehr

Abstract

In this paper, we will consider periodic EGARCH ⁡ ( p , p ) {\operatorname{EGARCH}(p,p)} (exponential generalized autoregressive conditional heteroscedastic) processes denoted by PEGARCH ⁡ ( p , p ) {\operatorname{PEGARCH}(p,p)} . These processes are similar to the standard EGARCH processes, but include seasonally varying coefficients. We examine the probabilistic structure of an EGARCH-type stochastic difference equation with periodically-varying parameters. We propose necessary and sufficient conditions ensuring the existence of stationary solutions (in a periodic sense) based on a Markovian representation. The closed forms of higher moments are, under these conditions, established. Furthermore, the expressions for the Kurtosis coefficient and the autocorrelations of squared observations are derived. The general theory is illustrated by considering special cases such as the symmetric and the asymmetric cases of the second order PEGARCH model.

3. Mai 2023

Statistical analysis of the estimates of some stationary performances of the unreliable M/M/1/N queue with Bernoulli feedback

Hadjer Nita, Faïrouz Afroun, Mouloud Cherfaoui, Djamil Aïssani

Seiten: 351-366

Mehr

Abstract

In this work, we considered the parametric estimation of the characteristics of the M / M / 1 / N {M/M/1/N} waiting model with Bernoulli feedback. Through a Monte-Carlo simulation study, we have illustrated the effect of the estimation of the starting parameters of the considered waiting system on the statistical properties of its performance measures estimates, when these latter are obtained using the plug-in method. In addition, several types of convergence (bias, variance, MSE, in law) of these performance measure estimators have also been showed by simulation.

Ahead-of-Print / Just-Accepted

Ahead-of-Print / Just-Accepted

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Band 25 (2019)

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Band 17 (2011)

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Band 1 (1995)

Journal Impact Factor	0.9	2022, Journal Citation Reports (Clarivate, 2023)
5-year Journal Impact Factor	0.9	2022, Journal Citation Reports (Clarivate, 2023)
Journal Citation Indicator	0.28	2022, Journal Citation Reports (Clarivate, 2023)
CiteScore	1.0	2022, Scopus (Elsevier B.V., 2023)
SCImago Journal Rank	0.258	2022, SJR (Scimago Lab, 2023; Data Source: Scopus)
Source Normalized Impact per Paper	0.578	2022, CWTS Journal Indicators (CWTS B.V., 2023; Data Source: Scopus)
Mathematical Citation Quotient	0.10

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Editorial

Managing Editor
Karl K. Sabelfeld 
Institute of Computational Mathematics and Mathematical Geophysics
Academy of Sciences
Siberian Branch
Lavrentjeva 6
630090 Novosibirsk, Russia
E-mail: karl@osmf.sscc.ru, sabelfeld.karl@yahoo.de
 
Editorial Board
Kurt Binder 
Institut für Physik
Johannes Gutenberg Universität Mainz
Staudinger Weg 7
55099 Mainz, Germany
E-mail: binder@chaplin.physik.uni-mainz.de

Nicolas Bouleau 
Ecoles des Ponts
28 rue des Saints Peres
75007 Paris, France
E-mail: nb@enpc.fr

Alexandre J. Chorin 
Department of Mathematics
University of California
Berkeley, CA 94720-3840, USA
E-mail: chorin@math.berkeley.edu

Ivan Dimov 
Bulgarian Academy of Sciences
Acad. G. Bonchev St. 25A
1113 Sofia, Bulgaria
E-mail: ivdimov@bas.org

Alain Dubus 
Service de Metrologie Nucleaire CP165/84
Université Libre de Bruxelles
Av. F.D. Roosevelt 50
1050 Brussels, Belgium
E-mail: adubus@ulb.ac.be

Alexander D. Egorov 
Belarus Academy of Sciences
Surganova St. 11
Minsk 220072, Belarus
E-mail: egorov@im.bas-net.by

Sergei M. Ermakov 
Department of Mathematics and Mechanics
St. Petersburg State University
Bibliotechnaya Sq. 2
Petrodvorets
198904 St. Petersburg, Russia
E-mail: sergej.ermakov@pobox.spbu.ru

John H. Halton 
University of North Carolina
305 Sitterson Hall
C.B. 3175 Chapel Hill
NC 27599-3175, USA
E-mail: halton@cs.unc.edu

Stefan Heinrich 
Universität Kaiserslautern
Postfach 3049
67653 Kaiserslautern, Germany
E-mail: heinrich@informatik.uni-kl.de

Chi-Ok Hwang
School of Liberal Arts and Sciences
Gwangju Institute of Science and Technology
Gwangju, 61005 Republic of Korea
E-mail: chwang@gist.ac.kr

Malvin H. Kalos 
Lawrence Livermore National Laboratory
Livermore, CA 94551, USA

Dmitry R., Kolyukhin
Trofimuk Institute of Petroleum Geology and Geophysics SB RAS,
3 Koptug ave.
630090 Novosibirsk, Russia
E-mail: KolyukhinDR@ipgg.sbras.ru

Dominique Lepingle 
Department of Mathematics
University of Orléans
B.P. 6759
45067 Orléans cedex 2, France
E-mail: lepingle@labomath.univ-orleans.fr

Yaohang Li
Department of Computer Science
Old Dominion University
4700 Elkhorn Ave, Suite 3300
Norfolk, VA 23529-0162
USA
yaohang@cs.odu.edu

Roman Makarov 
Department of Mathematics
Wilfrid Laurier University
75 University Avenue West
Waterloo, Ontario N2L 3C5, Canada
E-mail: rmakarov@wlu.ca

Michael Mascagni 
Department of Computer Science
Florida State University
203 Love Building
Tallahassee, FL 32306-4530, USA
E-mail: mascagni@cs.fsu.edu

Peter Mathé 
Weierstraß-Institut für Angewandte Analysis und Stochastik
Mohrenstr. 39
10117 Berlin, Germany
E-mail: mathe@wias-berlin.de

Harald Niederreiter 
Austrian Academy of Sciences
Dr. Ignaz Seipel-Platz 2
1010 Wien
E-mail: Harald.Niederreiter@oeaw.ac.at

Shigeyoshi Ogawa 
Department of Mathematics
Ritsumeikan University
Kyoto, Japan
E-mail: ogawa-s@se.ritsumei.ac.jp

Giray Ökten 
Department of Mathematics
Florida State University
Tallahassee, FL 32306-4510, USA
E-mail: okten@math.fsu.edu

Eckhard Platen 
School of Finance and Economics
University of Technology, Sydney
PO Box 123
Broadway NSW 2007, Australia
E-mail: eckhard.platen@uts.edu.au

Brian R. Sawford 
Department of Mechanical Engineering
Monash University
Building 33
Clayton Campus
Wellington Road
Clayton, VIC 3800, Australia
E-mail: brian.sawford@.eng.monash.au

Wolfgang C. Schmid 
Department of Mathematics
University of Salzburg
Hellbrunnerstr. 34
5020 Salzburg, Austria
E-mail: wolfgang.schmid@sbg.ac.at

John Schoenmakers 
Weierstraß-Institut für Angewandte Analysis und Stochastik
Mohrenstr. 39
10117 Berlin, Germany.
E-mail: schoenma@wias-berlin.de

Irina A. Shalimova
Institute of Computational Mathematics and Mathematical Geophysics,
Russian Acad.Sci,
6 Lavrentiev str.,
630090, Novosibirsk, Russia
E-mail: ias@osmf.sscc.ru

Ilya M. Sobol 
Institute for Mathematical Modelling
Russian Academy of Sciences
Miusskaya Square 4
125047 Moscow, Russia
E-mail: sobol@ciam.ru

Jerry Spanier 
Beckman Laser Institute & Medical Cliic
1002 Health Sciences Road East
Irvine, CA 92612, USA
E-mail: jerome.spanier@cgu.edu

Denis Talay 
INRIA
2004 Route des Lucioles
B.P. 109
06561 Valbonne cedex, France
E-mail: talay@sophia.inria.fr

Wolfgang Wagner 
Weierstraß-Institut für Angewandte Analysis und Stochastik
Mohrenstr. 39
10117 Berlin, Germany
E-mail: wagner@wias-berlin.de

(English)

Online ISSN: 1569-3961
Print ISSN: 0929-9629
Typ: Zeitschrift
Sprache: Englisch
Verlag: De Gruyter
Erstveröffentlichung: 1. Januar 1995
Erscheinungsweise: 4 Hefte pro Jahr
Zielgruppe: researchers in the field of theory and applications of Monte Carlo and Quasi-Monte Carlo methods