---

＜E-Book＞
Stochastic Simulation: Algorithms and Analysis / by Søren Asmussen, Peter W. Glynn
(Stochastic Modelling and Applied Probability. ISSN:2197439X ; 57)

Edition	1st ed. 2007.
Publisher	(New York, NY : Springer New York : Imprint: Springer)
Year	2007
Language	English
Size	XIV, 476 p : online resource
Authors	*Asmussen, Søren author Glynn, Peter W author SpringerLink (Online service)
Subjects	LCSH:Probabilities LCSH:Statistics  LCSH:Operations research LCSH:Industrial engineering LCSH:Production engineering LCSH:Management science LCSH:Social sciences -- Mathematics  All Subject Search FREE:Probability Theory FREE:Statistical Theory and Methods FREE:Operations Research and Decision Theory FREE:Industrial and Production Engineering FREE:Operations Research, Management Science FREE:Mathematics in Business, Economics and Finance
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 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. The first half of the book focuses on general methods, whereas the second half discusses model-specific algorithms. 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. Søren Asmussen is a professor of Applied Probability at Aarhus University, Denmark and Peter Glynn is the Thomas Ford professor of Engineering at Stanford University HTTP:URL=https://doi.org/10.1007/978-0-387-69033-9

 Similar Items