Discrete time methods for simulating continuous time Markov chains

DOI10.2307/1425933zbMATH Open0381.60063OpenAlexW1994930649MaRDI QIDQ4162256FDOQ4162256

Authors: Arie Hordijk, Donald L. Iglehart, R. Schaßberger 

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)

Cited In (15)

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

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