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

DOI10.1007/978-3-642-39363-1zbMATH Open1281.65003OpenAlexW2247836589MaRDI QIDQ2392069FDOQ2392069

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

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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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• Multilevel Particle Filters
• Optimal sampling design for global approximation of jump diffusion stochastic differential equations
• Derivative-Free Bayesian Inversion Using Multiscale Dynamics
• Weak variable step-size schemes for stochastic differential equations based on controlling conditional moments
• Analysis of the Generalization Error: Empirical Risk Minimization over Deep Artificial Neural Networks Overcomes the Curse of Dimensionality in the Numerical Approximation of Black--Scholes Partial Differential Equations
• Unbiased simulation of stochastic differential equations
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• Multilevel Sequential Monte Carlo with Dimension-Independent Likelihood-Informed Proposals
• Numerical solution of stochastic quantum master equations using stochastic interacting wave functions
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• TestU01

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