Concentrated Advanced Course on
- 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:
- Simulation of steady-state characteristics
(variance estimation, batch means, multiple replications,
- Rare events simulation
(infinitesimal perturbation analysis, the score function
Simulation of some special processes
(Gaussian processes, Levy processes, solutions
The course notes may be down-loaded from the publications
The course covered mainly the Chapters II-IV, VI, and VIII.
Please make further inquiries to MaPhySto (
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was last modified
January 19, 2004.
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