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Stochastic Simulation


Admission requirements

Inleiding Kansrekening
Introduction Mathematical Statistics


The field of stochastic simulation offers powerful tools and techniques to analyse stochastic processes which defy a direct mathematical analysis. This course gives a broad treatment of the most important aspects, including applications in e.g. queueing, reliability, manufacturing, risk analysis, and financial models. Aside from the fundamental mathematical interests, this course is thus also recommended for students wishing to make a career in business, finance, operations research, etc. In particular, the course contains a selection of the following:
1. Random number generation
2. Discrete event simulation
3. Output analysis of simulation results
4. Steady-state simulation
5. Variance-reduction methods
6. Rare-event simulation
7. Derivative estimation

Course Objectives

The learning objectives for this course are as follows. After this course, the student

  • understands the above mentioned simulation techniques and is able to apply them to a wide variety of stochastic processes;

  • is able to build a correct simulation model from a business context,

  • is able to perform an efficient simulation based on this model to capture the dynamics of key performance measures, after which the student

  • is able to successfully analyse and interpret the simulation results using appropriate statistical methods.


You will find the timetables for all courses and degree programmes of Leiden University in the tool MyTimetable (login). Any teaching activities that you have sucessfully registered for in MyStudyMap will automatically be displayed in MyTimeTable. Any timetables that you add manually, will be saved and automatically displayed the next time you sign in.

MyTimetable allows you to integrate your timetable with your calendar apps such as Outlook, Google Calendar, Apple Calendar and other calendar apps on your smartphone. Any timetable changes will be automatically synced with your calendar. If you wish, you can also receive an email notification of the change. You can turn notifications on in ‘Settings’ (after login).

For more information, watch the video or go the the 'help-page' in MyTimetable. Please note: Joint Degree students Leiden/Delft have to merge their two different timetables into one. This video explains how to do this.

Mode of instruction

The course will be based on lectures (2 x 45 minutes per week) and self-study.

Assessment method

The final grade consists of two parts, being:

homework assignments (25%)
written/oral exam (depending on the number of students) (75%)

In order to pass the course, the weighted average of the two parts needs to be at least 5.5; the weighted average of the homework assignments at least 5.0; and the grade for the written/oral exam at least 5.0.
There is a written/oral retake for the written/oral exam. The homework assignments are considered a practical exam and are therefore not retakable.

Reading list

Soren Asmussen, Peter W. Glynn
Stochastic Simulation: Algorithms and Analysis
Springer Verlag 2007
Volume 57 of the series Stochastic Modelling and Applied Probability
ISBN: 9780387306797


Please register for the course in MyStudyMap. There are two registration periods per year: registration for the fall semester opens in July and registration for the spring semester opens in December.

Please note that it is compulsory to register your participation for every exam and retake. Not being registered for a course means that you are not allowed to participate in the final exam of the course. Not being registered for an exam means your grade will not be processed.


Odysseas Kanavetas: o dot kanavetas at math dot leidenuniv dot nl