Stochastic simulation: Algorithms and analysis
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Publication:2644072
zbMath1126.65001MaRDI QIDQ2644072
Peter W. Glynn, Soren Asmussen
Publication date: 7 September 2007
Published in: Stochastic Modelling and Applied Probability (Search for Journal in Brave)
stochastic optimizationnumerical integrationbranching processesLévy processesMarkov chainsGaussian processestextbookstochastic differential equationsMonte Carlo methodsderivative estimationconvergence propertiescomputational efficiencystochastic algorithmsrandom number generationnumerical algorithmsstatistical simulationrare-event simulationblack-box algorithmsoutput analysissampling strategiessteady state simulationsampling-based methodsvariance-reductionsimulation of queues
Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35) Probabilistic methods, stochastic differential equations (65Cxx)
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