Stochastic Modelling and Applied Probability

Stochastic Simulation: Algorithms and Analysis

Authors: Asmussen, Søren, Glynn, Peter W.

  • First rigorous and comprehensive advanced book on stochastic simulation
  • Large amount of exercises and illustrations included
  • Top worldwide experts in the field
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eBook $49.99
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  • ISBN 978-0-387-69033-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
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  • Immediate eBook download after purchase
Hardcover $64.95
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  • ISBN 978-0-387-30679-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $64.95
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  • ISBN 978-1-4419-2146-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
About this Textbook

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.

Reviews

From the reviews:

"The adequate statistical simulation of random quantities is one of the challenges of this century. Therefore, sampling-based computational methods have become a fundamental part of the numerical toolset of both practitioners and researchers … . This book provides a descriptive treatment of a variety of such sampling-based methods. Some steps to the mathematical analysis of their convergence properties and diverse applications are sketched as well. … this book is of potential interest to many researchers, students and instructors." (Henri Schurz, Zentralblatt MATH, Vol. 1126 (3), 2008)

"This is a very interesting book for all who are interested in stochastic simulations. … the book is designed as a potential teaching and learning tool for use in a wide variety of courses. … it is a book that should be on the bookshelf of everybody who is seriously interested in stochastic simulations." (EMS Newsletter, September, 2008)

"The present book provides a broad treatment of sampling-based computational methods, as well as accompanying mathematical analysis of the convergence properties of these methods for a wide range of stochastic application problems. … A set of exercises … is also given at the end of each chapter. This book will be a reference of great value for researchers in probability, statistics, operations research, economics, finance, and engineering … . It would also be perfect as a textbook for graduate seminars or courses in stochastic simulation." (Mou-Hsiung Chang, Siam Review, Vol. 51 (1), 2009)

"This book is intended to provide a broad treatment of the basic ideas and algorithms associated with sampling-based methods, often referred to as Monte Carlo algorithms or stochastic simulation. … the book will be very useful to students and researchers from a wide range of disciplines." (John P. Lehoczky, Mathematical Reviews, Issue 2009 c)

"Stochastic Simulation, written by two prominent researchers in applied probability, is an outgrowth of that maturation. The authors’ goal is not to tell the reader everything known about simulation, nor is it to give a collection of recipes, but rather to provide insight into analyzing problems via simulation. … The book would make an excellent text for a graduate course in simulation, especially in a mathematical sciences department." (Peter C. Kiessler, Journal of the American Statistical Association, Vol. 104 (486), June, 2009)


Table of contents (1 chapters)

  • What This Book Is About

    Søren Asmussen, Peter W. Glynn

    Pages 1-27

Buy this book

eBook $49.99
price for USA (gross)
  • ISBN 978-0-387-69033-9
  • Digitally watermarked, DRM-free
  • Included format: PDF
  • ebooks can be used on all reading devices
  • Immediate eBook download after purchase
Hardcover $64.95
price for USA
  • ISBN 978-0-387-30679-7
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
Softcover $64.95
price for USA
  • ISBN 978-1-4419-2146-8
  • Free shipping for individuals worldwide
  • Usually dispatched within 3 to 5 business days.
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Bibliographic Information

Bibliographic Information
Book Title
Stochastic Simulation: Algorithms and Analysis
Authors
Series Title
Stochastic Modelling and Applied Probability
Series Volume
57
Copyright
2007
Publisher
Springer-Verlag New York
Copyright Holder
Springer-Verlag New York
eBook ISBN
978-0-387-69033-9
DOI
10.1007/978-0-387-69033-9
Hardcover ISBN
978-0-387-30679-7
Softcover ISBN
978-1-4419-2146-8
Series ISSN
0172-4568
Edition Number
1
Number of Pages
XIV, 476
Topics