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A survey on computer generation of some classes of stochastic processes. (English) Zbl 0794.60086

Summary: 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.

MSC:

60J85 Applications of branching processes
65C05 Monte Carlo methods
68U20 Simulation (MSC2010)
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References:

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