Stochastic Simulation: Algorithms and Analysis (Stochastic Modelling and Applied Probability, 100)

✍ Scribed by Søren Asmussen, Peter W. Glynn,

Year: 2007
Tongue: English
Leaves: 490
Edition: 1
Category: Library

No coin nor oath required. For personal study only.

✦ Synopsis

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; the second half discusses model-specific algorithms. Exercises and illustrations are included.

📜 SIMILAR VOLUMES

Stochastic Simulation: Algorithms and An

📁 Stochastic Simulation: Algorithms and Analysis (Stochastic Modelling and Applied Probability, No. 57)

✍ Søren Asmussen, Peter W. Glynn 📂 Library 📅 2007 🏛 Springer 🌐 English

<p><span>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 acco

Stochastic Calculus and Financial Applic

📁 Stochastic Calculus and Financial Applications (Stochastic Modelling and Applied Probability 45)

✍ J. Michael Steele 📂 Library 📅 2000 🏛 Springer 🌐 English

Stochastic calculus has important applications to mathematical finance. This book will appeal to practitioners and students who want an elementary introduction to these areas. From the reviews: "As the preface says, ‘This is a text with an attitude, and it is designed to reflect, wherever possible a

Stochastic Simulation Algorithms and Ana

📁 Stochastic Simulation Algorithms and Analysis

✍ Søren Asmussen, Peter W. Glynn 📂 Library 📅 2010 🏛 Springer 🌐 English

Stochastic simulation: algorithms and an

📁 Stochastic simulation: algorithms and analysis

✍ Søren Asmussen, Peter W. Glynn 📂 Library 📅 2007 🏛 Springer 🌐 English

Simulating Copulas: Stochastic Models, S

📁 Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

✍ Jan-Frederik Mai, Matthias Scherer 📂 Library 📅 2017 🏛 World Scientific 🌐 English

The book provides the background on simulating copulas and multivariate distributions in general. It unifies the scattered literature on the simulation of various families of copulas (elliptical, Archimedean, Marshall-Olkin type, etc.) as well as on different construction principles (factor models,

Simulating Copulas: Stochastic Models, S

📁 Simulating Copulas: Stochastic Models, Sampling Algorithms, and Applications

✍ Jan-Frederik Mai, Matthias Scherer 📂 Library 📅 2017 🏛 World Scientific Publishing Company 🌐 English