Perturbation analysis of inhomogeneous finite Markov chains

DOI10.1017/apr.2015.16zbMath1337.60181OpenAlexW2293706635WikidataQ59254859 ScholiaQ59254859MaRDI QIDQ2806356

Haralambie Leahu, Andreas Löpker, Bernd F. Heidergott, Georg Ch. Pflug

Publication date: 17 May 2016

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://projecteuclid.org/euclid.aap/1457466165

zbMATH Keywords

sensitivity analysisinfinitesimal generatorgradient estimatorsinhomogeneous finite Markov processes

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Continuous-time Markov processes on discrete state spaces (60J27) Transition functions, generators and resolvents (60J35)

Related Items (4)

AN IMPROVEMENT OF MARKOVIAN INTEGRATION BY PARTS FORMULA AND APPLICATION TO SENSITIVITY COMPUTATION ⋮ VOLATILITY ANALYSIS OF REGIME-SWITCHING MODELS ⋮ Intervene in advance or passively? Analysis and application on congestion control of smart grid ⋮ Limiting characteristics of queueing systems with vanishing perturbations

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