Discrete-time ``inversion'' and derivative estimation for Markov chains
type: Item
instance of: scholarly article
title: Discrete-time ``inversion'' and derivative estimation for Markov chains
zbMATH Open document ID: 0711.60073
DOI: 10.1016/0167-6377(90)90024-Y
author: Paul Glasserman
published in: Operations Research Letters
publication date: 1990-01-01T00:00:00Z
Mathematics Subject Classification ID: 60J20
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 4169801
zbMATH Keywords: gradient estimation
zbMATH Keywords: continuous-time Markov chains
zbMATH Keywords: simulation
zbMATH Keywords: embedded discrete-time chain
zbMATH Keywords: perturbation analysis
zbMATH Keywords: likelihood ratio
MaRDI profile type: Publication
cites work: Discrete-time conversion for simulating semi-Markov processes
cites work: Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes
cites work: Discrete time methods for simulating continuous time Markov chains
cites work: Convergence of stochastic processes
cites work: Sensitivity Analysis for Simulations via Likelihood Ratios
full work available at URL: 0167-6377(90)90024-y
OpenAlex ID: W1987121160
description: scientific article; zbMATH DE number 4169801