Importance sampling for continuous time Markov chains and applications to fluid models
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Publication:1973907
DOI10.1023/A:1010050800089zbMath0991.65009MaRDI 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 sampling; Monte Carlo simulation; large deviations; level crossing; asymptotic mean; asymptotically efficient simulation; finite state continuous time Markov process; Markov fluid
65C05: Monte Carlo methods
60K25: Queueing theory (aspects of probability theory)
65C40: Numerical analysis or methods applied to Markov chains
60F10: Large deviations
60J27: Continuous-time Markov processes on discrete state spaces
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