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9780387306797

Stochastic Simulation

by ;
  • ISBN13:

    9780387306797

  • ISBN10:

    038730679X

  • Format: Hardcover
  • Copyright: 2007-07-13
  • Publisher: Springer Verlag
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Summary

The book covers a broad aspect of topics and applications in simulation at a higher mathematical level than other recent texts in the area. Its readership is intended for graduate students and researchers from a broad variety of areas, in particular applied probability, statistics, mathematical finance, operations research, industrial engineering, electrical engineering and other application areas. The book contains a large amount of exercises and illustrations.

Author Biography

Peter Glynn is Thomas Ford Professor of Engineering at Stanford University.

Table of Contents

What this book is aboutp. 1
General methods and algorithmsp. 29
Generating random objectsp. 30
Output analysisp. 68
Steady-state simulationp. 96
Variance-reduction methodsp. 126
Rare-event simulationp. 158
Derivative estimationp. 206
Stochastic optimizationp. 242
Algorithms for special modelsp. 259
Numerical integrationp. 260
Stochastic differential equationsp. 274
Gaussian processesp. 306
Levy processesp. 325
Markov chain Monte Carlo methodsp. 350
Selected topics and extended examplesp. 381
Table of Contents provided by Blackwell. All Rights Reserved.

Supplemental Materials

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