Stochastic Simulation: Algorithms and Analysis

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Asmussen, Søren. Stochastic Simulation: Algorithms and Analysis by Søren Asmussen, Peter W. Glynn. -
XIV, 476 p. online resource. - (Stochastic Modelling and Applied Probability, 57) Content notes : 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. 9780387690339 * Distribution (Probability theory. Mathematical statistics. Operations research. Industrial engineering. Finance. Probability Theory and Stochastic Processes. Statistical Theory and Methods. Operations Research/Decision Theory. Industrial and Production Engineering. Operations Research, Management Science. Quantitative Finance. * Glynn, Peter W., aut, http://id.loc.gov/vocabulary/relators/aut * Title * Series