- J. Wiart, C. Lemieux, G.Y. Dong. On the dependence structure and quality of scrambled (t,m,s)-nets, 2020. arXiv version
- E. Hintz, M. Hofert, C. Lemieux. Normal variance mixtures: Distribution, density and parameter estimation, 2020. arXiv version
- J. Cai, C. Lemieux, F. Liu, R. Wang. Convex risk functionals: representation and applications. Insurance: Mathematics and Economics, 90, 66-79, 2020. Available from SSRN
- H. Faure and C. Lemieux. Implementation of irreducible Sobol' sequences in prime power bases. Mathematics and Computers in Simulation, 161, 13-22, 2019.Version from June 2018, arXiv version and link to journal
- P. Arbenz, M. Cambou, M. Hofert, C. Lemieux, Y. Taniguchi. Importance sampling and stratification for copula models. In Contemporary Computational Mathematics - a celebration of the 80th birthday of Ian Sloan
(J. Dick, F. Y. Kuo, H. Wozniakowski, eds.), Springer-Verlag, 2018. Version from Sept. 2017 and Springer link
- C. Lemieux. Negative dependence, scrambled nets, and variance bounds. Mathematics of Operations research, published online on September 5, 2017. Version from March 4, 2017 INFORMS link
Erratum: Example 2 in the paper is incorrect. For the function mentioned in the example, the function nu_f does not yield a measure so the proposed approach cannot be used to provide a representation of the form (15).
- H. Faure and C. Lemieux. Low-discrepancy sequences: Atanassov's methods revisited. Mathematics and Computers in Simulation, 132, 236--256, 2017. Version August 2016 and link to journal
- M. Cambou, M. Hofert and C. Lemieux. Quasi-random numbers for copula
models. Statistics and Computing, 27, 5, 1307-1329, 2017.
Link to journal and version
from June 2016
- H. Faure and C. Lemieux. Irreducible Sobol' sequences in prime power bases. Acta Arithmetica, 173, 59--80, 2016. Online First version (March 2016) and link to journal
- J. Cai, C. Lemieux and F. Liu. Optimal reinsurance from the perspectives of both an insurer and a reinsurer. ASTIN Bulletin, 46, 3, 815--849, 2016. Link to journal
- S. Li, D. Landriault and C. Lemieux. A risk model with varying premiums: its risk management implications. Insurance: Mathematics and Economics, 60, 38--46, 2015.Version from October 2014 and link to journal
- H. Faure and C. Lemieux. A review of discrepancy bounds for (t,s) and (t,e,s)-sequences with numerical comparisons. Mathematics and Computers in Simulation, 135, C, 63-71, 2017 (published online in October 2014) Version from August 2014 and link to journal
- C. Lemieux. Tractability for periodized generalized Faure sequences. Journal of Complexity, 31, 42--56, 2015. Version from July 2014 and link to journal
- J. Cai, C. Lemieux and F. Liu. Optimal Reinsurance with Regulatory Capital and Default Risk. Insurance: Mathematics and Economics, 57, 13-24, 2014. Version from April 2014 and link to journal
- H. Faure and C. Lemieux. A variant of Atanassov's method for (t,s)-sequences and (t,e,s)-sequences. Journal of Complexity, 30, 620-633, 2014. Version from March 2014 and link to journal
- X. Wang, C. Lemieux and H. Faure. A note on Atanassov's discrepancy bound for Halton sequences, manuscript, November 2013 version (revised version of a technical report published in 2008).
- D. Landriault, C. Lemieux and G.E. Willmot. An adaptive premium policy with a Bayesian motivation in the classical risk model. Insurance: Mathematics and Economics, vol. 51, no. 2, 370--378, 2012.
June 2012 version and link to journal
- H. Faure and C. Lemieux. Improvements on the star discrepancy of (t,s)-sequences, Acta Arithmetica, vol. 154, no. 1, 61--78, 2012. January 2012 version and link to journal
- H. Faure, C. Lemieux and X. Wang. Extensions of Atanassov's methods for Halton sequences. Monte Carlo and Quasi-Monte Carlo Methods 2010, L.Plaskota dn H. Wozniakowski (Eds.), Springer, 345-362, 2012. July 2011 version and link to volume
- H. Faure, C. Lemieux. Improved Halton sequences and discrepancy bounds. Monte Carlo Models and Applications, vol.16, 231-250, 2010. Sept.2010 version
- mcqmc08 C. Lemieux and H. Faure. New perspectives on (0,s)-sequences. Monte Carlo and Quasi-Monte Carlo 2008, P. L'Ecuyer and A.B. Owen (eds.), Springer, 2009, 113-130.
- MY BOOK C. Lemieux. Monte Carlo and Quasi-Monte Carlo Sampling. Springer Series in Statistics, New York, 2009. Errata (updated October 10, 2012)
- HFL08.pdf H. Faure and C. Lemieux. Generalized Halton sequences in 2008: A Comparative study. ACM-TOMACS, vol. 19, no. 4 (Article 15), 2009.
- M. Cieslak, C. Lemieux, J. Hanan and P. Prusinkiewicz. Quasi-Monte Carlo Simulation of the Light Environment for Plants. Functional Plant Biology, 2008, 35, 837-849. link to journal
- C. Bernard and C. Lemieux. Fast simulation of equity-linked
life insurance contracts with a surrender option, Proceedings of
the 2008 Winter Simulation Conference, 444-452, IEEE Press. Online publication.
- X. Wang, C. Lemieux and H. Faure. A note on Atanassov's discrepancy bound for the Halton sequence. Working paper 2008-04,
Department of Statistics and Actuarial Science, University of
Waterloo. Online publication
- jcomp2.pdf H.S. Gill and C. Lemieux,
"Searching for extensible Korobov rules", Journal of Complexity, 23, 603--613, 2007.
- mctm.pdf R.V. Craiu and C. Lemieux,
"Acceleration of the Multiple-Try Metropolis using Antithetic and Stratified Sampling", Statistics and Computing, 17, 109-120, 2007.
- M. Cieslak, C.Lemieux and P. Prusinkiewicz, "Quasi-Monte Carlo Simulation of the Light Environment of Virtual Plants" (extended abstract). Proceedings of the 5th Workshop on Functional Structural Plant Models, Napier, New Zealand, November 4-9 2007.
- C. Lemieux. "Quasi-random number techniques", book chapter in Handbook in Operations Research and Management Science: Simulation, Elsevier, 2006.
- C. Lemieux
and P. Sidorsky,
"Exact sampling with highly-uniform point sets",
Mathematical and Computer Modelling, 43, 339-349, 2006.
F. J. Hickernell, C. Lemieux and A. B. Owen, "Control Variates
for Quasi-Monte Carlo", Statistical Science, 20, 1-31, 2005.
- C. Lemieux and J. La, "A study of variance reduction techniques for
American option pricing", Proceedings of the 2005 Winter Simulation Conference,
IEEE Press, 1884-1891.
H. Ben Ameur, P. L'Ecuyer and C. Lemieux, "Combinations
of general antithetic transformations and control variables",
Mathematics of Operations Research, 29, 946-960, 2004.
C. Lemieux, "Randomized quasi-Monte Carlo: a tool for improving
the efficiency of simulations in finance", Proceedings of
the 2004 Winter Simulation Conference, 1565-1573, IEEE Press, 2004.
C. Lemieux and P. L'Ecuyer, "Randomized Polynomial Lattice Rules
for Multivariate Integration and Simulation",
SIAM Journal on Scientific Computing, vol.24, 1768-1789, 2003.
P. L'Ecuyer and C. Lemieux, "Recent Advances in Randomized Quasi-Monte
Carlo Methods", Modeling Uncertainty: An
Examination of Stochastic Theory, Methods, and Applications,
M. Dror, P. L'Ecuyer, and F. Szidarovszki, eds., Kluwer Academic,
419 - 474, 2002.
C. Lemieux and A.B. Owen, ``Quasi-regression and
the relative importance of the ANOVA component
of a function'', Monte Carlo and Quasi-Monte Carlo 2000, K.-T. Fang,
F. J. Hickernell, and H. Niederreiter eds,
pages 331-344, 2002.
D. Ormoneit, C. Lemieux and D. Fleet, "Lattice Particle Filters",
Proceedings of the 17th Conference on Uncertainty in Artifical
Intelligence, D. Koller and J. Breese editors, pages 395-402,
C. Lemieux and P. L'Ecuyer, ``On the use of quasi-Monte Carlo
methods in computational finance'', Computational Science - ICCS 2001
(part I), Lecture Notes in Computer Science vol. 2073, Springer,
607 - 618, 2001.
F.J. Hickernell, H.S. Hong, P. L'Ecuyer and C. Lemieux,
``Extensible Lattice Sequences for Quasi-Monte Carlo
Quadrature'', SIAM Journal on Scientific Computing, 22,
C. Lemieux and P. L'Ecuyer, ``On Selection Criteria for Lattice
Rules and Other Quasi-Monte Carlo Point Sets'',
Mathematics and Computers in Simulation, 55 (1-3) (2001) pp. 139-148.
C. Lemieux and P. L'Ecuyer, ``Using Lattice Rules for
Variance Reduction in Simulation'', Proceedings of
the 2000 Winter Simulation Conference, IEEE Press, 509-516.
P. L'Ecuyer and C. Lemieux, ``Variance Reduction via
Lattice Rules'', Management Science, 46, 9, (2000), 1214-1235.
C. Lemieux and P. L'Ecuyer, ``A Comparison of Monte Carlo,
Lattice Rules and Other Low-Discrepancy Point
Sets'', Monte Carlo and Quasi-Monte Carlo Methods 98, H.
and J. Spanier eds., Springer, Berlin, 2000. 326-340.
P. L'Ecuyer and C. Lemieux, ``On the Choice of Quasi-Random Point
Sets with a Lattice Structure'', Proceedings of Monte Carlo
Simulation 2000, Monte Carlo, June 2000 (shorter version
of "Variance reduction via lattice rules".)
P. L'Ecuyer and C. Lemieux, ``Quasi-Monte Carlo via Linear
Shift-Register Sequences'', Proceedings
of the 1999 Winter Simulation Conference, IEEE Press, December
1999, 336-343. Online
H. Ben Ameur, P. L'Ecuyer and C. Lemieux, ``Variance
Reduction of Monte Carlo and Randomized Quasi-Monte Carlo
Estimators for Stochastic Volatility Models in Finance'',
Proceedings of the 1999 Winter Simulation
Conference, IEEE Press, December 1999, 632-639.
C. Lemieux and P. L'Ecuyer, ``Lattice Rules for the Simulation
of Ruin Problems'', Proceedings the 13th European Simulation
MultiConference, vol. 2, 533-537, Ghent, Belgium, 1999.
The Society for Computer Simulation, 1999.
C. Lemieux and P. L'Ecuyer, ``Efficiency Improvement by
Lattice Rules for Pricing Asian Options'', Proceedings of the
1998 Winter Simulation Conference, IEEE Press, Dec. 1998,
C. Lemieux and P. L'Ecuyer, ``An Empirical Comparison
of Diffusion Approximation and Simulation in ATM
Networks'', Proceedings of the Sixth International
Symposium on Modeling, Analysis and Simulation of Computer and
Telecommunication Systems, 1998, 101-106.