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 optimization; numerical integration; branching processes; Lévy processes; Markov chains; Gaussian processes; textbook; stochastic differential equations; Monte Carlo methods; derivative estimation; convergence properties; computational efficiency; stochastic algorithms; random number generation; numerical algorithms; statistical simulation; rare-event simulation; black-box algorithms; output analysis; sampling strategies; steady state simulation; sampling-based methods; variance-reduction; simulation of queues
65-02: Research exposition (monographs, survey articles) pertaining to numerical analysis
60H35: Computational methods for stochastic equations (aspects of stochastic analysis)
65Cxx: Probabilistic methods, stochastic differential equations
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