Stochastic Simulation

**Instructor:**Richard Sowers**Office:**347 Illini Hall**Phone:**(217) 333-6246**email:**r-sowers@illinois.edu**Home page:**`https://math.uiuc.edu/~r-sowers`(this syllabus can be found there)**Office Hours:**8:30-9:30 M and by appointment**Class meets:**MWF 1-1:50 P.M. in 241 Altgeld**Text:**My Notes (preliminary form)

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.

- Sampling from distributions
- Monte Carlo
- Importance sampling
- Markov chains
- Markov chain Monte Carlo

- Asumssen and Glynn, Stochastic Simulation: Algorithms and Analysis, 2007, Springer-Verlag

Department of Mathematics

University of Illinois
at Urbana-Champaign

1409 W Green St.

Urbana, IL 61801

r-sowers@illinois.edu
(217) 333-6246