Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes

Abstract

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

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Document Details

Document Type
Technical Report
Publication Date
May 01, 1989
Accession Number
ADA210683

Entities

People

  • Bennett L. Fox
  • Peter W. Glynn

Organizations

  • Stanford University

Tags

Communities of Interest

  • Energy and Power Technologies
  • Materials and Manufacturing Processes

DTIC Thesaurus Topics

  • Algorithms
  • Computations
  • Efficiency
  • Engineering
  • Estimators
  • Integrals
  • Markov Chains
  • Mathematics
  • Operations Research
  • Probability
  • Sequences
  • Simulations
  • Splitting
  • Steady State
  • Transitions
  • United States
  • Universities

Fields of Study

  • Mathematics

Readers

  • Computational Modeling and Simulation
  • Energy Conservation and Renewable Energy Engineering.
  • Mathematical Modeling and Probability Theory.