Using Simulation to Estimate First Passage Distribution

DOI10.1287/MNSC.31.2.224MaRDI QIDQ3745106zbMATH OpenOpenAlexFDO

Authors Sheldon M. Ross, Zvi Schechner

Publication date 1985

Published in Management Science (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1287/mnsc.31.2.224

zbMATH Keywords

simulationconditional Monte CarloMonte Carlo estimatorfirst passage distributionestimate the number of transitionsobserved hazard

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)

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Cited in

(7)

• Variance Reduction Techniques for Digital Simulation
• A perspective on variance reduction in dynamic simulation experiments
• On the Variance of the Hazard Estimator in Simulation
• scientific article; zbMATH DE number 1304774 (Why is no real title available?)
• Computing optimal policies for Markovian decision processes using simulation
• Estimation and validation of Markov models
• Estimating the Mean Cover Time of a Semi-Markov Process via Simulation

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