Simulating tail asymptotics of a Markov chain

DOI10.1016/j.spl.2011.04.006zbMath1223.60059OpenAlexW2083041806MaRDI QIDQ553094

Aziz Khanchi, Gilles Lamothe

Publication date: 26 July 2011

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.spl.2011.04.006

zbMATH Keywords

rare event simulationJackson networkstrongly consistent estimatortime reversed Markov chain

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Monte Carlo methods (65C05)

Cites Work

• Unnamed Item
• Markov additive processes. I: Eigenvalue properties and limit theorems
• Importance sampling for Jackson networks
• Exact asymptotics for the stationary distribution of a Markov chain: a production model
• Large deviations of a modified Jackson network: stability and rough asymptotics
• Bridges and networks: exact asymptotics
• Asymptotic Hitting Distribution for a Reflected Random Walk in the Positive Quadrant
• Tail Decay Rates in Double QBD Processes and Related Reflected Random Walks
• A quick simulation method for excessive backlogs in networks of queues
• Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue
• Simulating Stable Stochastic Systems, I: General Multiserver Queues
• Simulating Stable Stochastic Systems, II: Markov Chains
• Fast simulation of rare events in queueing and reliability models
• Geometric Decay in a QBD Process with Countable Background States with Applications to a Join-the-Shortest-Queue Model

This page was built for publication: Simulating tail asymptotics of a Markov chain