Yes, like the title says im looking for books about simulating stochastic processes.
If they are using R in the book its great.
If they are using matlab its good too or if they are just describing the simulations without any specific programming language in mind its also ok but i prefer to see some code.
Here are some examples of simulation problems im interested in.
- Queues (M/M/1, M/M/S, M/M/S/K etc)
- Continous and discrete Markov chains
- Birth and death processess
- Wiener processes
- Martingales and stopping times
- Things like estimating P(X(t)=k), t in some interval, for some process or approximating the density function for some process. etc
edit: We are not using stochastic differential equations at all in this course. The simulations is just a small part of the course and there is nothing about simulations in the course literature. But i find the simulations most fun and want to learn more about it. I have googled and checked the university library but found nothing useful.