Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation - Tapa blanda

Sinopsis

Part I:Principles of Monte Carlo Methods.- 1.Introduction.- 2.Strong Law of Large Numbers and Monte Carlo Methods.- 3.Non Asymptotic Error Estimates for Monte Carlo Methods.- Part II:Exact and Approximate Simulation of Markov Processes.- 4.Poisson Processes.- 5.Discrete-Space Markov Processes.- 6.Continuous-Space Markov Processes with Jumps.- 7.Discretization of Stochastic Differential Equations.- Part III:Variance Reduction, Girsanov's Theorem, and Stochastic Algorithms.- 8.Variance Reduction and Stochastic Differential Equations.- 9.Stochastic Algorithms.- References.- Index.​

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