Oberseminar "Stochastic Processes and their approximation" I

02.12.2016, 9.00-13.00  –  TU Berlin, MA 748
Forschungsseminar Wahrscheinlichkeitstheorie

Jonathan Mandt, Generation of random variables. Inversion, Acceptance-Rejection, and Fast Fourier transform.

Konrad Noworyta, Asymptotic output analysis: Normal confidence intervals, Variance-Reduction methods

 Svenja Schäffer, Ad hoc generation methods. Box-Muller and Marsaglia algorithms for the normal distribution; Chambers, Mallow and Stuck algorithm for stable ditributions
 
Florian Hildebrandt, Non-asymptotic output analysis: Gaussian concentration inequalities via the log-Sobolev inequality