Stochastic Simulation: Algorithms and Analysis

• Main Authors: Asmussen, Søren (Author), Glynn, Peter W. (Author)
• Corporate Author: SpringerLink (Online service)
• Format: Electronic eBook
• Language: English
• Published: New York, NY : Springer New York, 2007.
• Series: Stochastic Modelling and Applied Probability, 57
• Subjects: Mathematics.; Operations research.; Decision making.; Economics, Mathematical.; Management science.; Probabilities.; Statistics.; Industrial engineering.; Production engineering.; Probability Theory and Stochastic Processes.; Statistical Theory and Methods.; Operation Research/Decision Theory.; Industrial and Production Engineering.; Operations Research, Management Science.; Quantitative Finance.

Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying...

Table of Contents:

• General Methods and Algorithms
• Generating Random Objects
• Output Analysis
• Steady-State Simulation
• Variance-Reduction Methods
• Rare-Event Simulation
• Derivative Estimation
• Stochastic Optimization
• Algorithms for Special Models
• Numerical Integration
• Stochastic Di3erential Equations
• Gaussian Processes
• Lèvy Processes
• Markov Chain Monte Carlo Methods
• Selected Topics and Extended Examples
• What This Book Is About
• What This Book Is About.