Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation
Author:   Carl Graham ,  Denis Talay
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Edition:   Softcover reprint of the original 1st ed. 2013
Volume:   68
ISBN:  

9783642438400


Pages:   260
Publication Date:   06 August 2015
Format:   Paperback
Availability:   Manufactured on demand   Availability explained
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Stochastic Simulation and Monte Carlo Methods: Mathematical Foundations of Stochastic Simulation


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Author:   Carl Graham ,  Denis Talay
Publisher:   Springer-Verlag Berlin and Heidelberg GmbH & Co. KG
Imprint:   Springer-Verlag Berlin and Heidelberg GmbH & Co. K
Edition:   Softcover reprint of the original 1st ed. 2013
Volume:   68
Dimensions:   Width: 15.50cm , Height: 1.50cm , Length: 23.50cm
Weight:   4.277kg
ISBN:  

9783642438400


ISBN 10:   3642438407
Pages:   260
Publication Date:   06 August 2015
Audience:   Professional and scholarly ,  Professional & Vocational
Format:   Paperback
Publisher's Status:   Active
Availability:   Manufactured on demand   Availability explained
We will order this item for you from a manufactured on demand supplier.

Table of Contents

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.​

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Author Information

Carl Graham is a CNRS researcher and Professeur chargé de cours (part-time associate professor) at the École Polytechnique and associate editor for Annals of Applied Probability. His main fields of research include stochastic processes, stochastic modelling and communication networks.  Denis Talay is a senior researcher at Inria. He holds a part time research position at École Polytechnique where he had taught for 13 years. He is, or has been, an associate editor for many top journals in probability, numerical analysis, financial mathematics and scientific computing. He was the president of the French Applied Math. Society SMAI (2006-2009) and is now the Chair of its Scientific Council. His main fields of interest are stochastic modelling, numerical probability, stochastic analysis of partial differential equations and financial mathematics.

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