Thorbjörn Gudmundsson: What is stochastic simulation?
Thorbjörn Gudmundsson, KTH
Time: Fri 2013-04-19 13.15 - 14.15
Location: Room 3733, Lindstedtsvägen 25, 7th floor, Department of Mathematics, KTH
The theory of stochastic simulation is an important and highly useful topic in modern applied probability theory. It offers an alternative for computation when analytical solution is unknown or nontrivial, such as the case is for multidimensional and highly complex systems. Stochastic simulation is a standard application used in many areas from finance and insurance, to the estimating the effect of climate change. The important question then is how we can simulate effectively.
In this talk I shall assume no previous usage of stochastic simulation, and introduce the subject with a toy example illustrating the key building blocks. I shall later move to rare-event simulation and present idea of importance sampling. If there’s time I will briefly mention the method of using Markov chain Monte Carlo to study these types of problems. The talk assumes no advance probability theory and is designed to convey ideas rather than focus on technical details.
Please observe that the seminar will be in room 3733!