Abstract
Stochastic simulation is a method for analyzing the performance of systems whose behavior depends on the interaction of random processes, processes that can be fully characterized by probability models. Stochastic simulation is a companion to mathematical and numerical analysis of stochastic models (e.g., Nelson, 1995) and is often employed when the desired performance measures are mathematically intractable or there is no numerical approximation whose error can be bounded. Computers make stochastic simulation practical, but the method can be described independently of any computer implementation, which is what we do here.
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References
Nelson, B. L. (1995). Stochastic modeling: Analysis and simulation. Mineola: Dover Publications, Inc.
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Nelson, B.L., Pei, L. (2021). Why Do We Simulate?. In: Foundations and Methods of Stochastic Simulation. International Series in Operations Research & Management Science, vol 316. Springer, Cham. https://doi.org/10.1007/978-3-030-86194-0_1
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DOI: https://doi.org/10.1007/978-3-030-86194-0_1
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