Research Catalog
Stochastic simulation : algorithms and analysis / Søren Asmussen, Peter W. Glynn.
- Title
- Stochastic simulation : algorithms and analysis / Søren Asmussen, Peter W. Glynn.
- Author
- Asmussen, Søren
- Publication
- New York : Springer, c2007.
Items in the Library & Off-site
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1 Item
| Status | Format | Access | Call Number | Item Location |
|---|---|---|---|---|
| Text | Request in advance | QA1 .A6 vol. 57 | Off-site |
Details
- Additional Authors
- Glynn, Peter W.
- Description
- xiv, 476 p. : ill.; 24 cm.
- Summary
- 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.
- Series Statement
- Stochastic modelling and applied probability ; 57
- Uniform Title
- Stochastic modelling and applied probability 57
- Subject
- Stochastic analysis
- Simulation methods
- Mathematics
- Finance
- Operations research
- Distribution (Probability theory)
- Mathematical statistics
- Industrial engineering
- Probability Theory and Stochastic Processes
- Statistical Theory and Methods
- Operations Research/Decision Theory
- Industrial and Production Engineering
- Operations Research, Mathematical Programming
- Quantitative Finance
- Bibliography (note)
- Includes bibliographical references (p. [452]-470) and index.
- Contents
- What this Book is about -- Part A: General Methods and Algorithms -- Generating Random Objects -- Output Analysis -- Steady-State Simulation -- Variance Reduction Methods -- Rare Event Simulation -- Gradient Estimation -- Stochastic Optimization -- Part B: Algorithms for Special Models -- Numerical Integration -- Stochastic Differential Equations -- Gaussian Processes -- Levy Processes -- Markov Chain Monte Carlo Methods -- Selected Topics and Extended Examples -- Appendix -- Bibliography -- Index.
- ISBN
- 9780387306797 (hbk.)
- 038730679X (hbk.)
- 9780387690339 (e-book)
- 0387690336 (e-book)
- OCLC
- 123113652
- SCSB-10037512
- Owning Institutions
- Harvard Library