Approximating Martingales for Variance Reduction in Markov Process Simulation

DOI10.1287/moor.27.2.253.329zbMath1082.60516OpenAlexW2021649043MaRDI QIDQ5704074

Shane G. Henderson, Peter W. Glynn

Publication date: 11 November 2005

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

Full work available at URL: https://semanticscholar.org/paper/9e3b099fda1b556474ea9a877ac61fa2ce68614a

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Martingales with discrete parameter (60G42) Numerical analysis or methods applied to Markov chains (65C40) Martingales with continuous parameter (60G44)

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