Importance sampling for a simple Markovian intensity model using subsolutions
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Publication:6638915
DOI10.1145/3502432zbMATH Open1548.601MaRDI QIDQ6638915
Henrik Hult, Boualem Djehiche, Pierre Nyquist
Publication date: 14 November 2024
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Computational methods in Markov chains (60J22) Sampling theory, sample surveys (62D05) Applications of Markov chains and discrete-time Markov processes on general state spaces (social mobility, learning theory, industrial processes, etc.) (60J20) Jump processes on general state spaces (60J76)
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