Discrete time methods for simulating continuous time Markov chains

DOI10.2307/1425933zbMath0381.60063OpenAlexW1994930649MaRDI QIDQ4162256

R. Schassberger, Donald L. Iglehart, Arie Hordijk

Publication date: 1976

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1425933

Mathematics Subject Classification ID

Continuous-time Markov processes on discrete state spaces (60J27)

Related Items

Some asymptotic formulas for markov chains with applications to simulation^†, Discrete-time conversion for simulating semi-Markov processes, Simulation methods of queues: An overview, On confidence intervals from simulation of finite Markov chains, Computational Probability for Systems Biology, History of Queueing Theory in Canada Prior to 1980, WARM-UP PERIODS IN SIMULATION CAN BE DETRIMENTAL, Weak convergence for generalized semi-Markov processes, Discrete-time ``inversion and derivative estimation for Markov chains, Using a standard clock technique for efficient simulation, Stationary Distributions of Continuous-Time Markov Chains: A Review of Theory and Truncation-Based Approximations, Statistical probabilistic model checking with a focus on time-bounded properties, Discrete-time stochastic modeling and simulation of biochemical networks, Variance reduction techniques for the simulation of Markov process. II: Matrix iterative methods, Approximate adaptive uniformization of continuous-time Markov chains