Monte Carlo Simulation

Mircea Grigoriu
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Mircea Grigoriu: Cornell University School of Civil and Environmental Engineering

Chapter Chapter 5 in Stochastic Calculus, 2002, pp 287-342 from Springer

Abstract: Abstract The Monte Carlo simulation method is used extensively in applied science and engineering to solve a variety of stochastic problems. Solutions for this type of problems by Monte Carlo simulation are presented in the following four chapters of the book. We have already used the Monte Carlo method in previous chapters to illustrate theoretical concepts on random variables, conditional expectation, stochastic processes, and stochastic integrals.

Keywords: Monte Carlo Simulation; Brownian Motion; Random Field; Covariance Function; Monte Carlo Algorithm (search for similar items in EconPapers)
Date: 2002
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-0-8176-8228-6_5

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DOI: 10.1007/978-0-8176-8228-6_5

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