Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes

DOI10.1137/0150085MaRDI QIDQ3970579zbMATH OpenOpenAlexFDO

Authors Bennett L. Fox, Peter W. Glynn

Publication date 25 June 1992

Published in SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL https://semanticscholar.org/paper/9471aee5dfd0c205c04b54ede7231967187164b6

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Markov processes: estimation; hidden Markov models (62M05) Operations research and management science (90B99)

Cited in

(9)

• Uniformization based sensitivity estimation for a class of discrete-event systems
• Efficiency improvement techniques
• Variance reduction algorithms for parallel replicated simulation of uniformized Markov chains
• Fast simulation of the customer blocking probability in queueing networks with multicast access
• Variance reduction with array-RQMC for tau-leaping simulation of stochastic biological and chemical reaction networks
• Comparative analysis of two modified fast simulation methods for evaluation of the failure probability of a rank structure system
• Boundedness conditions for relative error in fast simulation of reliability of non-Markovian systems
• Estimating Derivatives Via Poisson's Equation
• Discrete-time ``inversion and derivative estimation for Markov chains

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