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Stochastic Simulation: Algorithms and Analysis

Søren Asmussen, and Peter W. Glynn
Publisher: 
Springer
Publication Date: 
2007
Number of Pages: 
482
Format: 
Hardcover
Series: 
Stochastic Modelling and Applied Probability 57
Price: 
59.95
ISBN: 
978-0-387-30679-7
Category: 
Monograph
We do not plan to review this book.

 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.- Lévy Processes.- Markov Chain Monte Carlo Methods.- Selected Topics and Extended Examples.- Appendix.- Bibliography.- Index.

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