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

DOI10.1007/978-3-642-39363-1MaRDI QIDQ2392069zbMATHOpenAlexFDO

Authors 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

monographcentral limit theoremintervalsimulationsvariance reductionmartingalesPoisson processesalgorithmMonte Carlo methodsstrong law of large numbersMarkov processesMarkov chainsconvergence rateserror estimatesFeynman-Kac formulaFokker-Planck equationrejection methodstochastic algorithmstopping timesdistributionsKolmogorov equationsqueuekinetic equationslogarithmic Sobolev inequalityneutron transportbirth and death processesMarkov processes with jumpsasymptotic confidenceBermuda European optioncontrol variates method variance reductiondiscretization of stochastic differential equationsstochastic numerical methods for partial differential equationsItô's formulaItô stochastic calculus

Mathematics Subject Classification ID

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

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