Asymptotic Formulas for Markov Processes with Applications to Simulation

DOI10.1287/OPRE.40.2.279MaRDI QIDQ4004737zbMATH OpenOpenAlexFDO

Authors Ward Whitt

Publication date 27 September 1992

Published in Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/opre.40.2.279

zbMATH Keywords

ergodic Markov processMarkov chainsrecursive computational proceduressteady-state stochastic simulation experiment

Mathematics Subject Classification ID

Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Continuous-time Markov processes on general state spaces (60J25)

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Cited in

(24)

• Discrete-time conversion for simulating semi-Markov processes
• Uniform acceleration expansions for Markov chains with time-varying rates
• Autocorrelations in infinite server batch arrival queues
• Integral-type functionals of first hitting times for continuous-time Markov chains
• Reliable estimation via simulation
• Deviation matrix and asymptotic variance for \(\mathrm{GI}/\mathrm{M}/1\)-type Markov chains
• A Hoeffding's inequality for uniformly ergodic diffusion process
• Heavy-traffic asymptotics for networks of parallel queues with Markov-modulated service speeds
• Central limit theorems for ergodic continuous-time Markov chains with applications to single birth processes
• Poisson's equation for discrete-time single-birth processes
• Poisson equation and discrete one-sided Hilbert transform for (C, )-bounded operators
• Maximum values in queueing processes
• Additive functionals for discrete-time Markov chains with applications to birth-death processes
• Some asymptotic formulas for markov chains with applications to simulation^†
• Fitting birth-and-death queueing models to data
• The variance constant for continuous-time level dependent quasi-birth-and-death processes
• Diffusion approximation for an overloaded \(X\) model via a stochastic averaging principle
• Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates
• Analysis of Markov influence graphs
• STAFFING A SERVICE SYSTEM WITH NON-POISSON NON-STATIONARY ARRIVALS
• Simulating tail asymptotics of a Markov chain
• Cut-edge centralities in an undirected graph
• Limits of learning dynamical systems
• The asymptotic variance rate of the output process of finite capacity birth-death queues

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