A survey on computer generation of some classes of stochastic processes
- Resource Type
- Authors
- Ileana Popescu; Ion Vaduva
- Source
- Mathematics and Computers in Simulation. 33:223-241
- Subject
- Numerical Analysis
Theoretical computer science
General Computer Science
Markov chain
Stochastic process
Simple (abstract algebra)
Applied Mathematics
Modeling and Simulation
Computer generation
Algorithm
Theoretical Computer Science
Mathematics
- Language
- ISSN
- 0378-4754
This survey paper presents a collection of algorithms for computer generation of trajectories of some classes of stochastic processes such as various types of finite Markov chains (including simple or multiple Galton-Watson chains), Markov renewal processes, stochastic systems with complete connections, J-X processes and renewal systems with complete connections. The algorithms are mainly based on some particular properties of the considered stochastic processes. Details concerning preliminary data necessary for the implementation of these algorithms and some examples are also presented.