Using Simulation to Estimate First Passage Distribution

DOI10.1287/mnsc.31.2.224zbMath0606.62094OpenAlexW2116730739MaRDI QIDQ3745106

Sheldon M. Ross, Zvi Schechner

Publication date: 1985

Published in: Management Science (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/mnsc.31.2.224

zbMATH Keywords

simulationconditional Monte CarloMonte Carlo estimatorfirst passage distributionestimate the number of transitionsobserved hazard

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

Related Items (4)

Variance Reduction Techniques for Digital Simulation ⋮ A perspective on variance reduction in dynamic simulation experiments ⋮ Computing Optimal Policies for Markovian Decision Processes Using Simulation ⋮ On the Variance of the Hazard Estimator in Simulation

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