Likelihood ratio gradient estimation for stochastic recursions

DOI10.2307/1427933MaRDI QIDQ4862096zbMATH OpenOpenAlexFDO

Authors Pierre L'Ecuyer, Peter W. Glynn

Publication date 21 April 1996

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

Full work available at URL https://doi.org/10.2307/1427933

zbMATH Keywords

regenerationstationary distributionstochastic Lyapunov functionsseparable metric state spacelikelihood ratio estimatorsestimation of derivativeHarris-recurrent Markov-chainsi.i.d. innovation sequencenonlinear storage processsimulation based-estimation procedures

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Continuity and singularity of induced measures (60G30)

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(24)

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• Coupling control variates for Markov chain Monte Carlo
• On the validity of the Girsanov transformation method for sensitivity analysis of stochastic chemical reaction networks
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• Smoothing complements and randomized score functions
• Gradient of the log-likelihood ratio for infinite-dimensional stochastic systems
• Perturbation analysis of waiting times in the G/G/1 queue
• A perturbation analysis of Markov chains models with time-varying parameters
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