Derivative Estimates from Simulation of Continuous-Time Markov Chains

DOI10.1287/opre.40.2.292zbMath0748.60060OpenAlexW2010987374MaRDI QIDQ4004738

Paul Glasserman

Publication date: 27 September 1992

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://semanticscholar.org/paper/ac7e62cbab8e4c174071e05419534424a64706e3

zbMATH Keywords

Markov chainsperformance measuresinfinitesimal perturbation analysismean passage timesestimates based on likelihood ratios

Mathematics Subject Classification ID

Continuous-time Markov processes on general state spaces (60J25) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20)

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