Analysis of a Splitting Estimator for Rare Event Probabilities in Jackson Networks

DOI10.1214/11-SSY026zbMath1291.60150arXiv1007.5030OpenAlexW2963919440MaRDI QIDQ5168847

Yixi Shi, Jose H. Blanchet, Kevin Leder

Publication date: 21 July 2014

Full work available at URL: https://arxiv.org/abs/1007.5030

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22)

Related Items (2)

Rare Event Simulation Using Reversible Shaking Transformations ⋮ Splitting Algorithms for Rare Events of Semimartingale Reflecting Brownian Motions

Uses Software

• RESTART

Cites Work

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• Analysis of an importance sampling estimator for tandem queues
• Optimal Sampling of Overflow Paths in Jackson Networks

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