Discrete-time conversion for simulating semi-Markov processes

DOI10.1016/0167-6377(86)90076-3zbMath0612.60081OpenAlexW2091176971MaRDI QIDQ1088305

Bennett L. Fox, Peter W. Glynn

Publication date: 1986

Published in: Operations Research Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/0167-6377(86)90076-3

zbMATH Keywords

simulationvariance reductionsemi-Markov process

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Markov renewal processes, semi-Markov processes (60K15) Probabilistic methods, stochastic differential equations (65C99)

Related Items (7)

Simulation methods of queues: An overview ⋮ A perspective on variance reduction in dynamic simulation experiments ⋮ Discrete-time ``inversion and derivative estimation for Markov chains ⋮ Using a standard clock technique for efficient simulation ⋮ Accelerated Regeneration for Markov Chain Simulations ⋮ Efficiency improvement techniques ⋮ Guaranteed approximation of Markov chains with applications to multiplexer engineering in ATM networks

Cites Work

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• Confidence Interval Estimation Using Standardized Time Series
• Discrete time methods for simulating continuous time Markov chains

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