scientific article; zbMATH DE number 1278388

MaRDI QIDQ4239309zbMATH OpenFDO

Authors Søren Asmussen

Publication date 25 April 1999

zbMATH Keywords

Markov chain Monte Carlo methodsstochastic optimizationgradient estimationoutput analysissteady-state simulationrare events simulation

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40) Research exposition (monographs, survey articles) pertaining to numerical analysis (65-02)

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• Simulation of stochastic processes with generation and transport of particles
• Indirect inference in fractional short-term interest rate diffusions
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• Multidimensional random process synthesis and simulation

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