Importance sampling for continuous time Markov chains and applications to fluid models
Publication:1973907
DOI10.1023/A:1010050800089zbMath0991.65009OpenAlexW92099507MaRDI QIDQ1973907
Publication date: 1 September 2002
Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1023/a:1010050800089
importance samplingMonte Carlo simulationlarge deviationslevel crossingasymptotic meanasymptotically efficient simulationfinite state continuous time Markov processMarkov fluid
Monte Carlo methods (65C05) Queueing theory (aspects of probability theory) (60K25) Numerical analysis or methods applied to Markov chains (65C40) Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27)
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