# Stochastic Simulation (BM)

Vak
2024-2025

Inleiding Kansrekening
Introduction Mathematical Statistics

## Description

The field of stochastic simulation offers powerful tools and techniques to analyse stochastic processes which defy a direct mathematical analysis. This course gives a broad treatment of the most important aspects, including applications in e.g. queueing, reliability, manufacturing, risk analysis, and financial models. Aside from the fundamental mathematical interests, this course is thus also recommended for students wishing to make a career in business, finance, operations research, etc. In particular, the course contains a selection of the following:
1. Random number generation
2. Discrete event simulation
3. Output analysis of simulation results
5. Variance-reduction methods
6. Rare-event simulation
7. Derivative estimation

## Course Objectives

The learning objectives for this course are as follows. After this course, the student

• understands the above mentioned simulation techniques and is able to apply them to a wide variety of stochastic processes;

• is able to build a correct simulation model from a business context,

• is able to perform an efficient simulation based on this model to capture the dynamics of key performance measures, after which the student

• is able to successfully analyse and interpret the simulation results using appropriate statistical methods.

## Timetable

In MyTimetable, you can find all course and programme schedules, allowing you to create your personal timetable. Activities for which you have enrolled via MyStudyMap will automatically appear in your timetable.

Questions? Watch the video, read the instructions, or contact the ISSC helpdesk.

Note: Joint Degree students from Leiden/Delft need to combine information from both the Leiden and Delft MyTimetables to see a complete schedule. This video explains how to do it.

## Mode of instruction

The course will be based on lectures (2 x 45 minutes per week) and self-study.

## Assessment method

The final grade consists of two parts, being:

homework assignments (25%)
written/oral exam (depending on the number of students) (75%)

In order to pass the course, the weighted average of the two parts needs to be at least 5.5; the weighted average of the homework assignments at least 5.0; and the grade for the written/oral exam at least 5.0.
There is a written/oral retake for the written/oral exam. The homework assignments are considered a practical exam and are therefore not retakable.

Soren Asmussen, Peter W. Glynn
Stochastic Simulation: Algorithms and Analysis
Springer Verlag 2007
Volume 57 of the series Stochastic Modelling and Applied Probability
ISBN: 9780387306797

## Registration

As a student, you are responsible for enrolling on time through MyStudyMap.

In this short video, you can see step-by-step how to enrol for courses in MyStudyMap.
Extensive information about the operation of MyStudyMap can be found here.

There are two enrolment periods per year:

• Enrolment for the fall opens in July

• Enrolment for the spring opens in December

Note:

• It is mandatory to enrol for all activities of a course that you are going to follow.

• Your enrolment is only complete when you submit your course planning in the ‘Ready for enrolment’ tab by clicking ‘Send’.

• Not being enrolled for an exam/resit means that you are not allowed to participate in the exam/resit.

## Contact

Odysseas Kanavetas: o dot kanavetas at math dot leidenuniv dot nl

## Remarks

Software
Starting from the 2024/2025 academic year, the Faculty of Science will use the software distribution platform Academic Software. Through this platform, you can access the software needed for specific courses in your studies. For some software, your laptop must meet certain system requirements, which will be specified with the software. It is important to install the software before the start of the course. More information about the laptop requirements can be found on the student website.