A new Monte Carlo scheme based on the system of Tsallis’ generalized statistical mechanics is applied to a simple double well potential to calculate the canonical thermal average of potential energy. Although we observed serious quasi-ergodicity when using the standard Metropolis Monte Carlo...

In this paper we are interested in Monte Carlo pricing of American options via the Longstaff–Schwartz algorithm. In particular, we show that it is possible to obtain a variance reduction technique based on importance sampling by means of Girsanov theorem. The almost sure convergence of the...

The condition of detailed balance has long been used as a proxy for the more difficult-to-prove condition of total balance, which along with ergodicity is required to guarantee convergence of a Markov Chain Monte Carlo (MCMC) simulation to the correct probability distribution. However, some...

We examine the order of the phase transition in the Potts model by using the graph representation for the partition function, which allows treating a non-integer number of Potts states. The order of transition is determined by the analysis of the shape of the graph-weight probability...

A problem often considered in Operations Research and Computational Physics is the traveling salesman problem, in which a traveling salesperson has to find the shortest closed tour between a given set of cities touching each city exactly once. The distances between the single nodes are known to...

We perform Monte Carlo simulations on the body-centered-tetragonal helimagnet with Heisenberg spins which has the same breakdown of symmetry as the stacked triangular antiferromagnetic lattices and must belong to the same universality class. We obtain a second-order transition with similar...

This paper discusses the wealth distribution in a finite-sized closed economic system, where each agent may choose one amongst the four strategies: hawk, defect, cooperate and dove. When two agents encounter, exchange of the wealth is decided by the rules defined. The simulation results show...

Our previously developed integral-equation theories were applied to incorporate the effect of polydispersity in the study of the random sequential addition of spherical particles. By using the simplest uniform size distribution, we found that results from theories were in consistence with the...

Rescaled range analysis has regained popularity in the recent econophysics literature as a means of identifying long-term dependence in time-series data. Conclusions derived from the rescaled adjusted range statistic are conditional however upon the choice of an appropriate benchmark against...

The motion of contaminant particles through complex environments such as fractured rocks or porous sediments is often characterized by anomalous diffusion: the spread of the transported quantity is found to grow sublinearly in time due to the presence of obstacles which hinder particle...