Planning a cost‐efficient monitoring policy of stochastic processes arises from many
industrial problems. We formulate a simple discrete‐time monitoring problem of continuous …

A Monte Carlo method for computing the action of a matrix exponential for a certain class of
matrices on a vector is proposed. The method is based on generating random paths, which …

We review, implement, and compare numerical integration schemes for spatially bounded
diffusions stopped at the boundary which possess a convergence rate of the discretization …

In this article, a new Monte Carlo hybrid local search algorithm (Hyb-LS) is proposed for
solving the uncapacitated facility location problem. Hyb-LS is based on repeated sampling …

A novel algorithm for computing the action of a matrix exponential over a vector is proposed.
The algorithm is based on a multilevel Monte Carlo method, and the vector solution is …

We present an iterative scheme, reminiscent of the Multigrid method, to solve large
boundary value problems with Probabilistic Domain Decomposition (PDD). In it, increasingly …

Despite its generality and powerful convergence properties, Milstein's method for functionals
of spatially bounded stochastic differential equations is widely regarded as difficult to …