, Adaptative Monte Carlo method, a variance reduction technique. Monte Carlo Methods Appl, pp.1-24, 2004.
, Algorithmes stochastiques et méthodes de Monte Carlo, 2004.
, Contrôle dynamique des erreurs de simulation et d'estimation de processus de diffusion, 2005.
, Heat conduction using Green's functions, Series in Computational and Physical Processes in Mechanics and Thermal Sciences, 1992.
, A symmetrized Euler scheme for an efficient approximation of reflected diffusions, J. Appl. Probab, vol.41, issue.3, pp.877-889, 2004.
, Genetic genealogical model in rare event analysis, ALEA, vol.1, pp.181-203, 2006.
, A Monte Carlo method without grid for a fractured porous domain model, Monte Carlo Methods and Applications, vol.8, issue.2, pp.129-148, 2002.
DOI : 10.1515/mcma.2002.8.2.129
URL : https://hal.archives-ouvertes.fr/inria-00152412
, A Random Walk on Rectangles Algorithm, Methodology and Computing in Applied Probability, vol.24, issue.2, pp.135-151, 2006.
DOI : 10.1007/s11009-006-7292-3
URL : https://hal.archives-ouvertes.fr/inria-00092424
, Feynman-Kac formulae: Genealogical and interacting particle systems with applications. Probability and its Applications, 2004.
, Genealogical particle analysis of rare events, The Annals of Applied Probability, vol.15, issue.4, pp.2496-2534, 2005.
DOI : 10.1214/105051605000000566
URL : https://hal.archives-ouvertes.fr/hal-00113982
, Simulation du mouvement brownien et des diffusions, 1992.
URL : https://hal.archives-ouvertes.fr/tel-00523258
, Monte Carlo. Concepts, algorithms, and applications, Series in Operations Research, 1996.
, Importance Sampling for Stochastic Simulations, Management Science, vol.35, issue.11, pp.1367-1392, 1989.
DOI : 10.1287/mnsc.35.11.1367
, Monte Carlo methods in financial engineering, Applications of Mathematics, vol.53, 2004.
DOI : 10.1007/978-0-387-21617-1
, Weak approximation of killed diffusion using Euler schemes. Stochastic Process, Appl, vol.87, issue.2, pp.167-197, 2000.
, Efficient schemes for the weak approximation of reflected diffusions, Monte Carlo Methods and Applications, vol.7, issue.1-2, 2001.
DOI : 10.1515/mcma.2001.7.1-2.193
, -2) 193?202 Conference proceeding of Monte Carlo and probabilistic methods for partial differential equations, 2000.
URL : https://hal.archives-ouvertes.fr/hal-00904500
, A variance reduction technique based on integral representations, Quantitative Finance, vol.54, issue.5, pp.362-369, 2002.
DOI : 10.1016/0378-4754(93)E0068-G
, Population Monte Carlo algorithms Trans, Jpn. Soc. Artif. Intell, vol.16, issue.2, pp.279-286, 2001.
, Exponential Timestepping with Boundary Test for Stochastic Differential Equations, SIAM Journal on Scientific Computing, vol.24, issue.5, pp.1809-1822, 2003.
DOI : 10.1137/S1064827501399535
, Réduction de Variance et discrétisation d'´ equations différentielles stochastiques. Théorèmes limites presque sûres pour les martingales quasi-continuesàcontinuesà gauche, 2005.
, Variance Reduction Methods for Simulation of Densities on Wiener Space, SIAM Journal on Numerical Analysis, vol.40, issue.2, pp.431-450, 2002.
DOI : 10.1137/S0036142901385507
, Numerical solution of stochastic differential equations Computing the first eigenelements of some linear operators using a branching Monte Carlo method, J. Comput. Phys, issue.23, pp.227-9794, 1992.
, On the transition densities for reflected diffusions, Advances in Applied Probability, vol.23, issue.02, pp.435-460, 2005.
DOI : 10.2307/3214260
, Stochastic differential equations with reflecting boundary conditions, Communications on Pure and Applied Mathematics, vol.11, issue.4, pp.511-537, 1984.
DOI : 10.1002/cpa.3160370408
, Solution of the first boundary value problem for equations of parabolic type by means of the integration of stochastic differential equations, Teor. Veroyatnost . i Primenen, vol.40, issue.3, pp.657-665, 1995.
, An algorithm for random walks over small ellipsoids for solving the general Dirichlet problem, Comput. Math. Math. Phys, vol.33, issue.5, pp.631-647, 1993.
, Simulation of a space-time bounded diffusion, The Annals of Applied Probability, vol.9, issue.3, pp.732-779, 1999.
DOI : 10.1214/aoap/1029962812
, Stochastic numerics for mathematical physics. Scientific Computation, 2004.
, Some Continuous Monte Carlo Methods for the Dirichlet Problem, The Annals of Mathematical Statistics, vol.27, issue.3, pp.569-589, 1956.
DOI : 10.1214/aoms/1177728169
, Variance Reduction for Simulated Diffusions, SIAM Journal on Applied Mathematics, vol.54, issue.6, pp.1780-1805, 1994.
DOI : 10.1137/S0036139992236220
, Approximations for stochastic differential equations with reflecting convex boundaries. Stochastic Process, Appl, vol.59, issue.2, pp.295-308, 1995.
, Partial Differential Equations and Boundary-Value Problems with Applications, International Series in Pure and Applied Mathematics, 1998.
, Euler's approximations of solutions of SDEs with reflecting boundary. Stochastic Process, Appl, vol.94, issue.2, pp.317-337, 2001.
, Random walk algorithm for estimating effective properties of digitized porous media. Monte Carlo Methods Appl, Conference proceeding of IV IMACS Seminar on Monte Carlo Methods, pp.3-4, 2004.
, The Conditional Probability Density Function for a Reflected Brownian Motion, Computational Economics, vol.24, issue.2, pp.185-207, 2005.
DOI : 10.1023/B:CSEM.0000049491.13935.af
, Robust Variance Reduction for Random Walk Methods, SIAM Journal on Scientific Computing, vol.25, issue.6, pp.1964-1981, 2004.
DOI : 10.1137/S1064827503424025
, Campus scientifique, BP 70239, 54506 Vandoeuvre-l` es-Nancy cedex (France) E-mail address: Madalina.Deaconu@inria.fr E-mail address