Mat-1.3980 Stochastic Simulation, 3+2 cr.

Exam: January 12th, 2007 from 12-15 @U358.
Project's deadline: January 29th, 2007 at 12:00 am.


Lecturer: Visiting Professor Karl Sigman

Assistant: Igor Morlanes


Students need to have a background in (non-measure theoretic) Probability Theory at the level of (say) S. Ross, "A first course in probability", basic statistics (confidence intervals, sampling, strong law of large numbers and the central limit theorem). Knowledge of stochastic processes (Markov chains, Poisson process) is helpful (such as at the level of S. Ross, "An Introduction to probability models"). They also need to use a software such as MATLAB, or if they wish a high level language such as C++.



The course will be lectured during the second teaching period from November 14th till December 13th of 2006.


Suggested Text : S. Ross (2006) (4th Edition). Simulation. Academic Press, N.Y.

Suggested Reference Texts : A. Law and W. Kelton (3rd Edition). Simulation Modeling and Analysis. McGraw-Hill, Inc. N.Y.