Stochastic simulation and Monte Carlo methods. Mathematical foundations of stochastic simulation

DOI10.1007/978-3-642-39363-1zbMath1281.65003OpenAlexW2247836589MaRDI QIDQ2392069

Carl Graham, Denis Talay

Publication date: 6 August 2013

Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/978-3-642-39363-1

zbMATH Keywords

monographintervalalgorithmconvergence rateserror estimatesMarkov chainsstrong law of large numbersFokker-Planck equationmartingalesdistributionsMarkov processeslogarithmic Sobolev inequalitybirth and death processesMonte Carlo methodsqueuecentral limit theoremsimulationsvariance reductionFeynman-Kac formulaKolmogorov equationskinetic equationsPoisson processesstopping timesItô's formulastochastic algorithmneutron transportrejection methodMarkov processes with jumpsItô stochastic calculusasymptotic confidenceBermuda European optioncontrol variates method variance reductiondiscretization of stochastic differential equationsstochastic numerical methods for partial differential equations

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Numerical methods (including Monte Carlo methods) (91G60) Probabilistic models, generic numerical methods in probability and statistics (65C20) Monte Carlo methods (65C05) Discrete-time Markov processes on general state spaces (60J05) Queueing theory (aspects of probability theory) (60K25) Applications of stochastic analysis (to PDEs, etc.) (60H30) Numerical analysis or methods applied to Markov chains (65C40) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Stochastic partial differential equations (aspects of stochastic analysis) (60H15) PDEs with randomness, stochastic partial differential equations (35R60) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Numerical solutions to stochastic differential and integral equations (65C30) General theory of simulation (00A72) Pseudo-random numbers; Monte Carlo methods (11K45)

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