The Monte Carlo computation error of transition probabilities

DOI10.1016/J.SPL.2016.06.011MaRDI QIDQ312118zbMATH OpenOpenAlexFDO

Authors Adam Nielsen

Publication date 13 September 2016

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

Full work available at URL https://doi.org/10.1016/j.spl.2016.06.011

zbMATH Keywords

Markov operatorMonte Carlo methodscomputation errormeasurable state spacereversible Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10)

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Cites work

• scientific article; zbMATH DE number 3858118 (Why is no real title available?)
• scientific article; zbMATH DE number 54135 (Why is no real title available?)
• scientific article; zbMATH DE number 1222285 (Why is no real title available?)
• scientific article; zbMATH DE number 3088534 (Why is no real title available?)
• Markov Chains and Stochastic Stability
• Rates of convergence for everywhere-positive Markov chains
• Stochastic processes and applications. Diffusion processes, the Fokker-Planck and Langevin equations

Cited in

(1)

• Learning Koopman eigenfunctions of stochastic diffusions with optimal importance sampling and ISOKANN

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