Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers

DOI10.1137/S003613999427173XzbMATH Open0874.60064OpenAlexW2000308911MaRDI QIDQ4337656FDOQ4337656

Authors: Liyi Dai 

Publication date: 26 May 1997

Published in: SIAM Journal on Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1137/s003613999427173x

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zbMATH Keywords

simulationMarkov chainsderivative estimationinfinite horizondiscrete-time Markov chainregenerative structurescommon random numbervariance reduction in simulation

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Minimax procedures in statistical decision theory (62C20) Sample path properties (60G17)

Cited In (3)

• Title not available (Why is that?)
• Discrete-time ``inversion and derivative estimation for Markov chains
• From differential to difference importance measures for Markov reliability models

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