Stochastic Simulation and Optimization

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This research concerns the mathematical modeling, simulation (by computer), and optimization of complex stochastic systems, which involve uncertainty. Stochastic modeling and simulation are primary tools in science, engineering, economics, management, and several other areas. Simulation is often the only practical tool to deal with realistic models of complex systems, which are typically dynamic, stochastic, and nonlinear. This Chair is concerned with the design and implementation of efficient and reliable simulation methods, and the use of simulation to optimize decision/operation strategies in complex systems. It push the boundaries of knowledge by developing and implementing new methods, by studying existing methods from both the theoretical and empirical viewpoints, and their practical use to solve real-life problems, for example in mathematical finance, risk analysis, reliability, and the management of service systems.