The blind simulation problem and regenerative processes

DOI10.1109/18.737519MaRDI QIDQ4701217zbMATH OpenOpenAlexFDO

Authors James A. Bucklew

Publication date 21 November 1999

Published in IEEE Transactions on Information Theory (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1109/18.737519

zbMATH Keywords

importance sampling strategylarge deviationMonte Carlo simulationregenerative processes

Mathematics Subject Classification ID

Large deviations (60F10) Signal detection and filtering (aspects of stochastic processes) (60G35) Sampling theory, sample surveys (62D05) Monte Carlo methods (65C05)

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Cited in

(3)

• Dynamic importance sampling for uniformly recurrent Markov chains
• Importance sampling techniques for the multidimensional ruin problem for general Markov additive sequences of random vectors
• Staircase patterns in words: subsequences, subwords, and separation number

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