Use of monte Carlo method for solution of time-dependent problems in the hydrodynamics of viscoplastic media

1970 ◽  
Vol 18 (6) ◽  
pp. 775-779 ◽  
Author(s):  
A. M. Makarov ◽  
K. B. Pavlov ◽  
S. L. Simkhovich
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Time Dependent ◽  
Time Dependent Problems

OPTIMAL SUPERHEDGING UNDER NON-CONVEX CONSTRAINTS — A BSDE APPROACH

2008 ◽  
Vol 11 (04) ◽  
pp. 363-380 ◽  
Author(s):  
CHRISTIAN BENDER ◽  
MICHAEL KOHLMANN
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Numerical Methods ◽  
Borrowing Constraints ◽  
Time Dependent ◽  
Convex Constraints ◽  
Numerical Examples ◽  
Black Scholes ◽  
Backward Sdes ◽  
Theoretical Results

We apply theoretical results by Peng on supersolutions for Backward SDEs (BSDEs) to the problem of finding optimal superhedging strategies in a generalized Black–Scholes market under constraints. Constraints may be imposed simultaneously on wealth process and portfolio. They may be non-convex, time-dependent, and random. The BSDE method turns out to be an extremely useful tool for modeling realistic markets: in this paper, it is shown how more realistic constraints on the portfolio may be formulated via BSDE theory in terms of the amount of money invested, the portfolio proportion, or the number of shares held. Based on recent advances on numerical methods for BSDEs (in particular, the forward scheme by Bender and Denk [1]), a Monte Carlo method for approximating the superhedging price is given, which demonstrates the practical applicability of the BSDE method. Some numerical examples concerning European and American options under non-convex borrowing constraints are presented.

The Solution of Transient Radiative Transfer With Collimated Incident Serial Pulse in a Plane-Parallel Medium by the DRESOR Method

2008 ◽  
Vol 130 (10) ◽  
Author(s):  
Qiang Cheng ◽  
Huai-Chun Zhou ◽  
Zhi-Feng Huang ◽  
Yong-Lin Yu ◽  
De-Xiu Huang
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Radiative Transfer ◽  
Incident Radiation ◽  
Anisotropic Scattering ◽  
Time Dependent ◽  
Temporal Response ◽  
One Dimensional ◽  
Unit Energy ◽  
The Monte Carlo Method

A time-dependent distribution of ratios of energy scattered by the medium or reflected by the boundary surfaces (DRESOR) method was proposed to solve the transient radiative transfer in a one-dimensional slab. This slab is filled with an absorbing, scattering, and nonemitting medium and exposed to a collimated, incident serial pulse with different pulse shapes and pulse widths. The time-dependent DRESOR values, representing the temporal response of an instantaneous, incident pulse with unit energy and the same incident direction as that for the serial pulse, were proposed and calculated by the Monte Carlo method. The temporal radiative intensity inside the medium with high directional resolution can be obtained from the time-dependent DRESOR values. The transient incident radiation results obtained by the DRESOR method were compared to those obtained with the Monte Carlo method, and good agreements were achieved. Influences of the pulse shape and width, reflectivity of the boundary, scattering albedo, optical thickness, and anisotropic scattering on the transient radiative transfer, especially the temporal response along different directions, were investigated.

Time-Dependent Analysis of QCA Circuits with the Monte Carlo Method

2006 ◽  
pp. 109-141
Author(s):  
Luca Bonci ◽  
Mario Gattobigio ◽  
Giuseppe Iannaccone ◽  
Massimo Macucci
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Time Dependent ◽  
The Monte Carlo Method ◽  
Qca Circuits ◽  
Time Dependent Analysis

Evaluation of time-dependent strengths of californium neutron sources by decay of 252Cf, 250Cf, and 248Cm: Uncertainties by Monte Carlo method

2021 ◽  
Vol 167 ◽  
pp. 109454
Author(s):  
Frederick C. Hila ◽  
Cheri Anne M. Dingle ◽  
Alvie Asuncion-Astronomo ◽  
Charlotte V. Balderas ◽  
Marianna Lourdes Marie L. Grande ◽  
...  
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Time Dependent ◽  
Neutron Sources

scholarly journals A backward Monte-Carlo method for time-dependent runaway electron simulations

2017 ◽  
Vol 24 (9) ◽  
pp. 092511 ◽  
Author(s):  
Guannan Zhang ◽  
Diego del-Castillo-Negrete
Keyword(s):  
Monte Carlo ◽  
Monte Carlo Method ◽  
Runaway Electron ◽  
Time Dependent
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