Simulation Analysis of System Life when Component Lives are Determined by a Marked Point Process

DOI10.1239/jap/1402578631zbMath1298.65019OpenAlexW2056402083MaRDI QIDQ5169732

Sheldon M. Ross

Publication date: 11 July 2014

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

Full work available at URL: https://doi.org/10.1239/jap/1402578631

zbMATH Keywords

simulationconditional expectationvariance reductionmarked point processrenewal processHawkes processpoissonization

Mathematics Subject Classification ID

Stochastic models in economics (91B70) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Renewal theory (60K05)

Cites Work

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• Probability approximations via the Poisson clumping heuristic
• Quota sampling for multinomial via Dirichlet
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• On Birthday, Collectors', Occupancy and Other Classical Urn Problems
• An Introduction to the Theory of Point Processes
• Improving the Asmussen–Kroese-Type Simulation Estimators
• Improved algorithms for rare event simulation with heavy tails

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