Asymptotic Formulas for Markov Processes with Applications to Simulation
From MaRDI portal
Publication:4004737
DOI10.1287/opre.40.2.279zbMath0748.60062MaRDI QIDQ4004737
Publication date: 27 September 1992
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1287/opre.40.2.279
Markov chains; ergodic Markov process; recursive computational procedures; steady-state stochastic simulation experiment
60J25: Continuous-time Markov processes on general state spaces
60J20: Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.)
Related Items
The variance constant for continuous-time level dependent quasi-birth-and-death processes, Technical Note—Approximating Systems Fed by Poisson Processes with Rapidly Changing Arrival Rates, Analysis of Markov Influence Graphs, STAFFING A SERVICE SYSTEM WITH NON-POISSON NON-STATIONARY ARRIVALS, Fitting birth-and-death queueing models to data, Diffusion approximation for an overloaded \(X\) model via a stochastic averaging principle, The asymptotic variance rate of the output process of finite capacity birth-death queues, Uniform acceleration expansions for Markov chains with time-varying rates, Autocorrelations in infinite server batch arrival queues, Integral-type functionals of first hitting times for continuous-time Markov chains, Reliable estimation via simulation, Deviation matrix and asymptotic variance for \(\mathrm{GI}/\mathrm{M}/1\)-type Markov chains, A Hoeffding's inequality for uniformly ergodic diffusion process, Heavy-traffic asymptotics for networks of parallel queues with Markov-modulated service speeds, Central limit theorems for ergodic continuous-time Markov chains with applications to single birth processes, Poisson's equation for discrete-time single-birth processes, Poisson equation and discrete one-sided Hilbert transform for \((C, \alpha)\)-bounded operators, Maximum Values in Queueing Processes, Additive Functionals for Discrete-Time Markov Chains with Applications to Birth-Death Processes