Monte Carlo algorithms.

DOI10.1007/978-3-540-89141-3zbMath1254.65012OpenAlexW3979328MaRDI QIDQ616584

Erich Novak, Klaus Ritter, Thomas Müller-Gronbach

Publication date: 10 January 2011

Published in: Springer-Lehrbuch (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-540-89141-3

zbMATH Keywords

monographconvergenceerror estimatesnumerical integrationMarkov chain Monte Carlo methodBrownian motionMonte Carlo methodsnumerical simulationvariance reductionPoisson processparticle physicsrandom numbersacceptance-rejection methodsdirect simulationfinancial and actuarial mathematicstime-discrete Markov processes

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical methods (including Monte Carlo methods) (91G60) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Brownian motion (60J65) Numerical analysis or methods applied to Markov chains (65C40) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) General theory of simulation (00A72) Foundations of stochastic processes (60G05)

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