We propose a new scheme for simulation of collisions with multiple possible outcomes in variableweight DSMC computations. The scheme is applied to a 0-D ionization rate coefficient computation, and 1-D electrical breakdown simulation. We show that the scheme offers a significant (up to an order of magnitude) improvement in the level of stochastic noise over the usual acceptancerejection algorithm, even when controlling for the slight additional computational costs. The benefits and performance of the scheme are analyzed in detail, and possible extensions are proposed
We shall propose a new computational scheme with the asymptotic method to achieve variance reduction...
Pricing financial options often requires Monte Carlo methods. One particular case is that of barrier...
The multiple proposal methods represent a recent simulation technique for Markov Chain Monte Carlo t...
A newly developed variable-weight DSMC collision scheme for inelastic collision events is applied to...
We describe a new Monte Carlo algorithm for the consistent and unbiased estimation of multidimension...
This paper discusses a novel strategy for simulating rare events and an associated Monte Carlo estim...
Particle-in-Cell Direct Simulation Monte Carlo (PIC-DSMC) is a widely used method for simulation of ...
In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This ...
We propose a modification, based on the RESTART (repetitive simulation trials after reaching thresho...
AbstractIn Direct Simulation Monte Carlo (DSMC) method, it is difficulty to keep grid size smaller t...
AbstractIn this paper, we apply an improved version of Monte Carlo methods to pricing barrier option...
The theory of probabilistic dynamics (TPD) was first introduced in order to overcome some of the lim...
A regular Monte Carlo (MC) simulation algorithm assigns each simulation scenario, or path, an identi...
Studying failure scenarios allows one to gain insights into their cause and consequence, providing i...
First of all, this paper presents some improvements of DSMC method in the form of new schemes and ap...
We shall propose a new computational scheme with the asymptotic method to achieve variance reduction...
Pricing financial options often requires Monte Carlo methods. One particular case is that of barrier...
The multiple proposal methods represent a recent simulation technique for Markov Chain Monte Carlo t...
A newly developed variable-weight DSMC collision scheme for inelastic collision events is applied to...
We describe a new Monte Carlo algorithm for the consistent and unbiased estimation of multidimension...
This paper discusses a novel strategy for simulating rare events and an associated Monte Carlo estim...
Particle-in-Cell Direct Simulation Monte Carlo (PIC-DSMC) is a widely used method for simulation of ...
In this paper, we apply an improved version of Monte Carlo methods to pricing barrier options. This ...
We propose a modification, based on the RESTART (repetitive simulation trials after reaching thresho...
AbstractIn Direct Simulation Monte Carlo (DSMC) method, it is difficulty to keep grid size smaller t...
AbstractIn this paper, we apply an improved version of Monte Carlo methods to pricing barrier option...
The theory of probabilistic dynamics (TPD) was first introduced in order to overcome some of the lim...
A regular Monte Carlo (MC) simulation algorithm assigns each simulation scenario, or path, an identi...
Studying failure scenarios allows one to gain insights into their cause and consequence, providing i...
First of all, this paper presents some improvements of DSMC method in the form of new schemes and ap...
We shall propose a new computational scheme with the asymptotic method to achieve variance reduction...
Pricing financial options often requires Monte Carlo methods. One particular case is that of barrier...
The multiple proposal methods represent a recent simulation technique for Markov Chain Monte Carlo t...