MPS-LN 1999-2
March 1999

Stochastic Simulation

with a view towards stochastic processes

Søren Asmussen

Abstract

The present notes are based upon a Concentated Advanced Course given at MaPhySto, Aarhus, in February 1999. An earlier and incomplete version was written up in connection with a PhD course given at the Department of Mathematical Statistics, University of Lund, in the spring of 1996. The aim has been to present some main aspects of simulation methodology at a reasonably advanced mathematical level. Some topics like random variate generation, Markov chains Monte Carlo metods and stochastic optimization are left out or treated briefly, since they form areas in themselves and extensive treatm ents are available elsewhere. However, in a later version of the notes I expect to complement the treatment in these areas; sections or chapters marked with a * indicate that more will be filled in later.
[Excerpt from Preface]

Availability:

The notes have undergone several revisions since 1999 and are currently (fall 2003) being reworked to book form (Peter Glynn, Stanford, is co-author). Accordingly the original version has been taken off the web.