MathOverflow is a question and answer site for professional mathematicians. Join them; it only takes a minute:

Sign up
Here's how it works:
  1. Anybody can ask a question
  2. Anybody can answer
  3. The best answers are voted up and rise to the top

Any recommendations for textbooks on probability and/or stochastic processes that emphasize simulation? I'll be teaching this course in the Fall.

share|cite|improve this question
The new book Markov Chains and Mixing Times by Levin, Peres, and Wilmer ( looks quite nice. It doesn't emphasize code, but it does cover aspects of simulation. You might also consider Bremaud: – Steve Huntsman Apr 26 '10 at 21:14
Also for continuous-time stochastic processes you might consider Gardiner:… – Steve Huntsman Apr 26 '10 at 21:15

Your Answer


By posting your answer, you agree to the privacy policy and terms of service.

Browse other questions tagged or ask your own question.