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1. The First Exit Time Stochastic Theory Applied to Estimate the Life-Time of a Complicated System

   We develop a first exit time methodology to model the life time process of a complicated system. We assume that the functionality level of a...

   Christos H. Skiadas, Charilaos Skiadas in Methodology and Computing in Applied Probability

   Article 01 March 2019

2. First-Order Weak Balanced Schemes for Stochastic Differential Equations

   We address the numerical solution of stochastic differential equations with multiplicative noise (SDEs) by means of balanced schemes. In particular,...

   H. A. Mardones, C. M. Mora in Methodology and Computing in Applied Probability

   Article 23 July 2019

3. Batch Renewal Arrival Process Subject to Geometric Catastrophes

   We consider a stochastic model where a population grows in batches according to renewal arrival process. The population is prone to be affected by...

   F. P. Barbhuiya, Nitin Kumar, U. C. Gupta in Methodology and Computing in Applied Probability

   Article 19 May 2018

4. Coupling Importance Sampling and Multilevel Monte Carlo using Sample Average Approximation

   In this work, we propose a smart idea to couple importance sampling and Multilevel Monte Carlo (MLMC). We advocate a per level approach with as many...

   Ahmed Kebaier, Jérôme Lelong in Methodology and Computing in Applied Probability

   Article 21 July 2017

5. Analysis and Approximation of a Stochastic Growth Model with Extinction

   We consider a stochastic growth model for which extinction eventually occurs almost surely. The associated complete Fokker–Planck equation describing...

   Fabien Campillo, Marc Joannides, Irène Larramendy-Valverde in Methodology and Computing in Applied Probability

   Article 08 February 2015

6. On First Hitting Times for Skew CIR Processes

   In this work, the first hitting times for skew CIR processes are investigated. We compute the Laplace transforms and the means of the first hitting...

   Shiyu Song, Guangli Xu, Yong** Wang in Methodology and Computing in Applied Probability

   Article 02 May 2014

7. Exact Solutions of Stochastic Differential Equations: Gompertz, Generalized Logistic and Revised Exponential

   Exact analytic solutions of some stochastic differential equations are given along with characteristic futures of these models as the Mean and...

   Christos H. Skiadas in Methodology and Computing in Applied Probability

   Article 30 June 2009

8. A Monte Carlo Method for the Simulation of First Passage Times of Diffusion Processes

   A reliable Monte Carlo method for the evaluation of first passage times of diffusion processes through boundaries is proposed. A nested algorithm...

   Maria Teresa Giraudo, Laura Sacerdote, Cristina Zucca in Methodology And Computing In Applied Probability

   Article 01 June 2001

9. Numerical Solutions for a Class of SPDEs with Application to Filtering

   A simulation scheme for a class of nonlinear stochastic partial differential equations is proposed and error bounds for the scheme are derived. The...

   Thomas G. Kurtz, Jie **ong in Stochastics in Finite and Infinite Dimensions

   Chapter 2001