Simulating tail asymptotics of a Markov chain

DOI10.1016/J.SPL.2011.04.006MaRDI QIDQ553094zbMATH OpenOpenAlexFDO

Authors Aziz Khanchi, Gilles Lamothe

Publication date 26 July 2011

Published in Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/j.spl.2011.04.006

zbMATH Keywords

rare event simulationJackson networkstrongly consistent estimatortime reversed Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

Recommendations

• scientific article; zbMATH DE number 1927572
• Some asymptotic formulas for markov chains with applications to simulation^†
• Asymptotic Formulas for Markov Processes with Applications to Simulation
• Efficient simultaneous simulation of Markov chains
• On the convergence of the Markov chain simulation method
• Computing Densities for Markov Chains via Simulation
• Approximating Markov chains for bootstrapping and simulation
• Tail events of simulated annealing Markov chains

Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• A quick simulation method for excessive backlogs in networks of queues
• Asymptotic hitting distribution for a reflected random walk in the positive quadrant
• Bridges and networks: exact asymptotics
• Exact asymptotics for the stationary distribution of a Markov chain: a production model
• Fast simulation of rare events in queueing and reliability models
• Geometric Decay in a QBD Process with Countable Background States with Applications to a Join-the-Shortest-Queue Model
• Importance sampling for Jackson networks
• Large deviations of a modified Jackson network: stability and rough asymptotics
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• Markov additive processes. I: Eigenvalue properties and limit theorems
• Simulating Stable Stochastic Systems, I: General Multiserver Queues
• Simulating Stable Stochastic Systems, II: Markov Chains
• Tail decay rates in double QBD processes and related reflected random walks

Cited in

(3)

• Computing Densities for Markov Chains via Simulation
• scientific article; zbMATH DE number 3942984 (Why is no real title available?)
• Some asymptotic formulas for markov chains with applications to simulation^†

This page was built for publication: Simulating tail asymptotics of a Markov chain

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q553094)