Estimating Derivatives Via Poisson's Equation

DOI10.1017/S0269964800002205zbMath1134.62356OpenAlexW2098686327MaRDI QIDQ3416023

Bennett L. Fox, Paul Glasserman

Publication date: 19 January 2007

Published in: Probability in the Engineering and Informational Sciences (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1017/s0269964800002205

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05)

Related Items (3)

Sensitivity analysis of stationary performance measures for Markov chains ⋮ Decomposable score function estimators for sensitivity analysis and optimization of queueing networks ⋮ Sensitivity analysis of discrete event systems by the push out method

Cites Work

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• Discrete-time ``inversion and derivative estimation for Markov chains
• Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes
• Linear Statistical Inference and its Applications

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