Stochastic Simulation

This guide to simulation methods with explicit recommendations of methods and algorithms covers both the technical aspects of the subject, such as the generation of random numbers, non-uniform random variates and stochastic processes, and the use of simulation.

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This comprehensive guide to simulation methods with explicit recommendations of methods and algorithms covers both the technical aspects of the subject, such as the generation of random numbers, non-uniform random variates and stochastic processes, and the use of simulation. Supported by the relevant mathematical theory, the text contains a great deal of unpublished research material, including coverage of the analysis of shift-register generators, sensitivity analysis of normal variate generators, analysis of simulation output, and more. Also included is a selection of computer programs.