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Simulation of Random Variables

  • 2026
  • OriginalPaper
  • Chapter
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Abstract

This chapter presents the basic principles of the simulation of random variables and random vectors, including a short introduction to the simulation of pseudo-random numbers, the inverse distribution function method and von Neumann's acceptance-rejection method, with applications to the simulation of Gaussian vectors, (fractional) Brownian motion and Poisson process paths.

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Title
Simulation of Random Variables
Author
Gilles Pagès
Copyright Year
2026
DOI
https://doi.org/10.1007/978-3-032-10092-4_1
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