Stochastic Simulation: Algorithms and Analysis

Authors:

ISBN: 978-0-387-30679-7 (Print) 978-0-387-69033-9 (Online)

Table of contents (14 chapters)

  1. Front Matter

    Pages I-XIV

  2. What This Book Is About

    1. Front Matter

      Pages 1-1

    2. No Access

      Book Chapter

      Pages 1-27

      What This Book Is About

  3. General Methods and Algorithms

    1. Front Matter

      Pages 29-29

    2. No Access

      Book Chapter

      Pages 30-67

      Generating Random Objects

    3. No Access

      Book Chapter

      Pages 68-95

      Output Analysis

    4. No Access

      Book Chapter

      Pages 96-125

      Steady-State Simulation

    5. No Access

      Book Chapter

      Pages 126-157

      Variance-Reduction Methods

    6. No Access

      Book Chapter

      Pages 158-205

      Rare-Event Simulation

    7. No Access

      Book Chapter

      Pages 206-241

      Derivative Estimation

    8. No Access

      Book Chapter

      Pages 242-258

      Stochastic Optimization

  4. Algorithms for Special Models

    1. Front Matter

      Pages 259-259

    2. No Access

      Book Chapter

      Pages 260-273

      Numerical Integration

    3. No Access

      Book Chapter

      Pages 274-305

      Stochastic Di3erential Equations

    4. No Access

      Book Chapter

      Pages 306-324

      Gaussian Processes

    5. No Access

      Book Chapter

      Pages 325-349

      Lèvy Processes

    6. No Access

      Book Chapter

      Pages 350-380

      Markov Chain Monte Carlo Methods

    7. No Access

      Book Chapter

      Pages 381-441

      Selected Topics and Extended Examples

  5. Back Matter

    Pages 442-476