Stochastic simulation with a view towards stochastic processes. (English)
MaPhySto. Lecture Notes. 2. Aarhus: MaPhySto, Univ. of Aarhus, vi, 146 p. (1999).
Contents: Basics. Output analysis. Steady-state simulation. Rare events simulation. Markov chain Monte Carlo methods. Gradient estimation. Stochastic optimization. Simulation of some special processes. Selected topics.
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