TY  - BOOK
AU  - Asmussen,Søren
AU  - Glynn,Peter W.
ED  - SpringerLink (Online service)
TI  - Stochastic Simulation: Algorithms and Analysis
T2  - Stochastic Modelling and Applied Probability,
SN  - 9780387690339
U1  - 519.2 23
PY  - 2007///
CY  - New York, NY
PB  - Springer New York
KW  - MATHEMATICS
KW  - FINANCE
KW  - OPERATIONS RESEARCH
KW  - DISTRIBUTION (PROBABILITY THEORY)
KW  - MATHEMATICAL STATISTICS
KW  - INDUSTRIAL ENGINEERING
KW  - PROBABILITY THEORY AND STOCHASTIC PROCESSES
KW  - STATISTICAL THEORY AND METHODS
KW  - OPERATIONS RESEARCH/DECISION THEORY
KW  - INDUSTRIAL AND PRODUCTION ENGINEERING
KW  - OPERATIONS RESEARCH, MATHEMATICAL PROGRAMMING
KW  - QUANTITATIVE FINANCE
N1  - 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
N2  - 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
UR  - http://dx.doi.org/10.1007/978-0-387-69033-9
ER  -