This is a short course (January 18th to March 11th) which quickly introduces the basics of stochastic simulation. Roughly, we will go through as much of Asmussen and Glynn's book on Stochastic Simulation as is comfortable. Our goal is to understand algorithms and some simplified results on speed of convergence. Our intended audience is not only mathematicians, but students from engineering, physics, and finance. We assume that the students will either be willing to accept, ex cathedra, basic aspects of measure theory, or have the ability to understand them on their own.
Department of Mathematics
University of Illinois at Urbana-Champaign
1409 W Green St.
Urbana, IL 61801
email@example.com (217) 333-6246