相关论文: Monte Carlo simulations of the randomly forced Bur…
In this work, we introduce a Monte Carlo method for the dynamic hedging of general European-type contingent claims in a multidimensional Brownian arbitrage-free market. Based on bounded variation martingale approximations for…
We present extensive new \emph{ab initio} path integral Monte Carlo (PIMC) simulations of normal liquid $^3$He without any nodal constraints. This allows us to study the effects of temperature on different structural properties like the…
We consider Monte Carlo algorithms for the simulation of charged lattice gases with purely local dynamics. We study the mobility of particles as a function of temperature and show that the poor mobility of particles at low temperatures is…
We propose to compute physical properties by Monte Carlo calculations using conditional expectation values. The latter are obtained on top of the usual Monte Carlo sampling by partitioning the physical space in several subspaces or…
This chapter is devoted to the computation of equilibrium (thermodynamic) properties of quantum systems. In particular, we will be interested in the situation where the interaction between particles is so strong that it cannot be treated as…
We review quantum Monte Carlo methods for dealing with large shell model problems. These methods reduce the imaginary-time many-body evolution operator to a coherent superposition of one-body evolutions in fluctuating one-body fields; the…
In recent years dynamical systems (of deterministic and stochastic nature), describing many models in mathematics, physics, engineering and finances, become more and more complex. Numerical analysis narrowed only to deterministic algorithms…
We present a hybrid method for time-dependent particle transport problems that combines Monte Carlo (MC) estimation with deterministic solutions based on discrete ordinates. For spatial discretizations, the MC algorithm computes a piecewise…
Safety evaluation of self-driving technologies has been extensively studied. One recent approach uses Monte Carlo based evaluation to estimate the occurrence probabilities of safety-critical events as safety measures. These Monte Carlo…
Numerical computations in strongly-interacting quantum field theories are often performed using Monte-Carlo sampling methods. A key task in these calculations is to estimate the value of a given physical quantity from the distribution of…
Monte Carlo integration is a commonly used technique to compute intractable integrals and is typically thought to perform poorly for very high-dimensional integrals. To show that this is not always the case, we examine Monte Carlo…
We use a Monte Carlo method to assemble finite element matrices for polynomial Chaos approximations of elliptic equations with random coefficients. In this approach, all required expectations are approximated by a Monte Carlo method. The…
We show that the common local Monte Carlo rules used to simulate the motion of driven flux lines in disordered media cannot capture the interplay between elasticity and disorder which lies at the heart of these systems. We therefore discuss…
We study interacting Majorana fermions in two dimensions as a low-energy effective model of a vortex lattice in two-dimensional time-reversal-invariant topological superconductors. For that purpose, we implement ab-initio quantum Monte…
An overview of recent work on Monte Carlo simulations of a granular binary mixture is presented. The results are obtained numerically solving the Enskog equation for inelastic hard-spheres by means of an extension of the well-known direct…
We develop generalization of the fixed-phase diffusion Monte Carlo method for Hamiltonians which explicitly depend on particle spins such as for spin-orbit interactions. The method is formulated in zero variance manner and is similar to…
Elastic systems that are spatially heterogeneous in their mechanical response pose special challenges for molecular simulations. Standard methods for sampling thermal fluctuations of a system's size and shape proceed through a series of…
We present a Monte Carlo numerical investigation of the Hamiltonian Mean Field (HMF) model. We begin by discussing canonical Metropolis Monte Carlo calculations, in order to check the caloric curve of the HMF model and study finite size…
A brief introduction to the technique of Monte Carlo simulations in statistical physics is presented. The topics covered include statistical ensembles random and pseudo random numbers, random sampling techniques, importance sampling, Markov…
We introduce a Monte Carlo algorithm to efficiently compute transport properties of chaotic dynamical systems. Our method exploits the importance sampling technique that favors trajectories in the tail of the distribution of displacements,…