Importance sampling for continuous time Markov chains and applications to fluid models

DOI10.1023/A:1010050800089MaRDI QIDQ1973907zbMATH OpenOpenAlexFDO

Authors Paolo Baldi, Mauro Piccioni

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

zbMATH Keywords

asymptotic meanasymptotically efficient simulationfinite state continuous time Markov processimportance samplinglarge deviationslevel crossingMarkov fluidMonte Carlo simulation

Mathematics Subject Classification ID

Large deviations (60F10) Continuous-time Markov processes on discrete state spaces (60J27) Queueing theory (aspects of probability theory) (60K25) Monte Carlo methods (65C05) Numerical analysis or methods applied to Markov chains (65C40)

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Cited in

(7)

• Convergence of large deviation rates based on a link between wave governed random motions and ruin processes
• A representation formula for the large deviation rate function for the empirical law of a continuous time Markov chain
• Finding the conjugate of Markov fluid processes
• Large Deviation Results for Wave Governed Random Motions Driven by Semi-Markov Processes
• Combining importance sampling and temporal difference control variates to simulate Markov Chains
• Efficient estimation of overflow probabilities in queues with breakdowns
• Importance sampling for McKean-Vlasov SDEs

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