Professor Karl Sigman's Lecture Notes on Simulation

Phone: (212) 854-3556
FAX: (212) 854-8103

Lecture Notes

• Review of probability theory
  1. Inverse Transform Method
  2. Introduction to the single-server queue and its simulation
  3. Acceptance Rejection Method
  4. Antithetic variates method for reducing the variance of an estimate in Monte Carlo simulations
  5. Insurance risk models
  6. Simulating Markov chains
  7. Introduction to Brownian motion and geometric Brownian motion and the simulation of them
  8. Simulating inventory models: The classic (s,S) policy model
  9. Estimating the number of ways there can be a tie in a USA Presidential election and other applications
  10. Non-stationary Poisson processes
  11. Processor Sharing Queues
  12. Importance Sampling