Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation - Brossura

Graham, Carl; Talay, Denis

Brossura

ISBN 10: 3642393640 ISBN 13: 9783642393648

Casa editrice: Springer, 2016

Riassunto

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.​

Dettagli dell?edizione

• Editore: Springer
• Data di pubblicazione: 2016
• Lingua: Inglese
• ISBN 10: 3642393640
• ISBN 13: 9783642393648
• Rilegatura: Paperback
• Contatto del produttore: non disponibile