Likelihood ratio gradient estimation for stochastic recursions

DOI10.2307/1427933zbMath0835.62071OpenAlexW2050941272MaRDI QIDQ4862096

Pierre L'Ecuyer, Peter W. Glynn

Publication date: 21 April 1996

Published in: Unnamed Author (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.2307/1427933

zbMATH Keywords

stationary distributionregenerationstochastic Lyapunov functionsseparable metric state spacelikelihood ratio estimatorsestimation of derivativeHarris-recurrent Markov-chainsi.i.d. innovation sequencenonlinear storage processsimulation based-estimation procedures

Mathematics Subject Classification ID

Markov processes: estimation; hidden Markov models (62M05) Monte Carlo methods (65C05) Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Stopping times; optimal stopping problems; gambling theory (60G40) Continuous-time Markov processes on discrete state spaces (60J27) Continuity and singularity of induced measures (60G30)

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