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Lecture

Stochastic Simulation: Variance Reduction Techniques

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MATH-414: Stochastic simulation

The student who follows this course will get acquainted with computational tools used to analyze systems with uncertainty arising in engineering, physics, chemistry, and economics. Focus will be on sampling methods as Monte Carlo, quasi Monte Carlo, Mark ...

Description

This lecture covers stochastic simulation and variance reduction techniques, focusing on Courra variate and auxiliary distribution generation. It discusses the outcome of stochastic models, assumptions, and the idea behind generating auxiliary distributions. The instructor explains the importance of transition kernels and drift changes for stochastic processes.

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Instructor

Fabio Nobile

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