Discrete-time conversion for simulating semi-Markov processes

DOI10.1016/0167-6377(86)90076-3MaRDI QIDQ1088305zbMATH OpenOpenAlexFDO

Authors Bennett L. Fox, Peter W. Glynn

Publication date 1986

Published in Operations Research Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/0167-6377(86)90076-3

zbMATH Keywords

simulationvariance reductionsemi-Markov process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Probabilistic methods, stochastic differential equations (65C99) Markov renewal processes, semi-Markov processes (60K15)

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Cites work

• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 3736680 (Why is no real title available?)
• scientific article; zbMATH DE number 3793743 (Why is no real title available?)
• scientific article; zbMATH DE number 3236503 (Why is no real title available?)
• scientific article; zbMATH DE number 3256930 (Why is no real title available?)
• scientific article; zbMATH DE number 3274494 (Why is no real title available?)
• Confidence Interval Estimation Using Standardized Time Series
• Discrete time methods for simulating continuous time Markov chains

Cited in

(8)

• Simulation methods of queues: An overview
• A perspective on variance reduction in dynamic simulation experiments
• Accelerated regeneration for Markov chain simulations
• Guaranteed approximation of Markov chains with applications to multiplexer engineering in ATM networks
• Efficiency improvement techniques
• Using a standard clock technique for efficient simulation
• Discrete-time ``inversion and derivative estimation for Markov chains
• Estimating the Mean Cover Time of a Semi-Markov Process via Simulation

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