Stochastic Simulation: Algorithms and Analysis

Søren Asmussen, Peter W. Glynn (Autoren)

Buch | Softcover

476 Seiten

2010 | Softcover reprint of hardcover 1st ed. 2007
Springer-Verlag New York Inc.
978-1-4419-2146-8 (ISBN)

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Sampling-based computational methods have become a fundamental part of the numerical toolset of practitioners and researchers across an enormous number of different applied domains and academic disciplines. This book provides a broad treatment of such sampling-based methods, as well as accompanying mathematical analysis of the convergence properties of the methods discussed. The reach of the ideas is illustrated by discussing a wide range of applications and the models that have found wide usage. Given the wide range of examples, exercises and applications students, practitioners and researchers in probability, statistics, operations research, economics, finance, engineering as well as biology and chemistry and physics will find the book of value.

General Methods and Algorithms.- Generating Random Objects.- Output Analysis.- Steady-State Simulation.- Variance-Reduction Methods.- Rare-Event Simulation.- Derivative Estimation.- Stochastic Optimization.- Algorithms for Special Models.- Numerical Integration.- Stochastic Di3erential Equations.- Gaussian Processes.- Lèvy Processes.- Markov Chain Monte Carlo Methods.- Selected Topics and Extended Examples.- What This Book Is About.- What This Book Is About.

Erscheint lt. Verlag	19.11.2010
Reihe/Serie	Stochastic Modelling and Applied Probability ; 57
Zusatzinfo	XIV, 476 p.
Verlagsort	New York, NY
Sprache	englisch
Maße	155 x 235 mm
Themenwelt	Mathematik / Informatik ► Mathematik ► Wahrscheinlichkeit / Kombinatorik
	Technik ► Maschinenbau
	Wirtschaft ► Betriebswirtschaft / Management
ISBN-10	1-4419-2146-X / 144192146X
ISBN-13	978-1-4419-2146-8 / 9781441921468
Zustand	Neuware