DISCRETE-TIME CONVERSION FOR SIMULATING FINITE-HORIZON MARKOV-PROCESSES

被引：17

作者：

FOX, BL ^{[1
]}

GLYNN, PW ^{[1
]}

机构：

[1] STANFORD UNIV,DEPT OPERAT RES,STANFORD,CA 94305

来源：

SIAM JOURNAL ON APPLIED MATHEMATICS | 1990年 / 50卷 / 05期

关键词：

D O I：

10.1137/0150085

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

The expectations of certain integrals of functionals of continuous-time Markov chains over a finite horizon, fixed or random, are estimated via simulation. By computing conditional expectations given the sequence of states visited (and possibly other information), variance is reduced. This is discrete-time conversion. Efficiency is increased further by combining discrete-time conversion with stratification and splitting.

引用

页码：1457 / 1473

页数：17

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