MaPhySto
Centre for Mathematical Physics and Stochastics
Department of Mathematical Sciences, University of Aarhus

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Funded by The Danish National Research Foundation

Concentrated Advanced Course on

Stochastic Simulation

- with a view towards stochastic processes

Lectures by Søren Asmussen, Lund University

February 22-26, 1999

University of Aarhus

From Monday, Febrary 22, 1999 to Friday, February 26, 1999 MaPhySto organized a Concentrated Advanced Course on Stochastic Simulation.

The course covered some main themes in the part of stochastic simulation outside of Markov chain Monte Carlo methods and random variate generation, in particular:

1. Simulation of steady-state characteristics (variance estimation, batch means, multiple replications, regenerative simulation)
2. Rare events simulation
3. Gradient estimation (infinitesimal perturbation analysis, the score function method)
4. Simulation of some special processes (Gaussian processes, Levy processes, solutions to SDE's).

Course notes

The course notes may be down-loaded from the publications web-page.

The course covered mainly the Chapters II-IV, VI, and VIII.

More Information

Please make further inquiries to MaPhySto (maphysto@mi.aau.dk.)