Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers (Q4337656)
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scientific article; zbMATH DE number 1012893
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| English | Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers |
scientific article; zbMATH DE number 1012893 |
Statements
Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers (English)
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26 May 1997
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discrete-time Markov chain
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simulation
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derivative estimation
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infinite horizon
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common random number
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variance reduction in simulation
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Markov chains
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regenerative structures
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0.7832180261611938
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0.782996416091919
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0.7766883969306946
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