Description

Book Synopsis
1. Introduction to Monte Carlo Methods.- 2. Some Probability Distributions and Their Uses.- 3. Markov Chain Monte Carlo.- 4. Random Walks.- 5. Optimization by Monte Carlo Methods.- 6. More on Markov Chain Monte Carlo.- A. Generating Uniform Random Numbers.- B. Perron Frobenius Theorem.- C. Kelly Allocation for Correlated Investments.- D. Donsker's Theorem.- E. Projects.- References.- List of Notation.- Code Index.

Explorations in Monte Carlo Methods

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    A Hardback by Ronald W. Shonkwiler

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      Publisher: Springer
      Publication Date: 6/15/2024
      ISBN13: 9783031559631, 978-3031559631
      ISBN10: 3031559630
      Also in:
      Mathematics Probability and statistics

      Description

      Book Synopsis
      1. Introduction to Monte Carlo Methods.- 2. Some Probability Distributions and Their Uses.- 3. Markov Chain Monte Carlo.- 4. Random Walks.- 5. Optimization by Monte Carlo Methods.- 6. More on Markov Chain Monte Carlo.- A. Generating Uniform Random Numbers.- B. Perron Frobenius Theorem.- C. Kelly Allocation for Correlated Investments.- D. Donsker's Theorem.- E. Projects.- References.- List of Notation.- Code Index.

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