Discrete-Time Conversion for Simulating Finite-Horizon Markov Processes
- 1 October 1990
- journal article
- Published by Society for Industrial & Applied Mathematics (SIAM) in SIAM Journal on Applied Mathematics
- Vol. 50 (5) , 1457-1473
- https://doi.org/10.1137/0150085
Abstract
The expectations of certain integrals of functionals of continuous-time Markov chains over a finite horizon, fixed or random, are estimated via simulation. By computing conditional expectations given the sequence of states visited (and possibly other information), variance is reduced. This is discrete-time conversion. Efficiency is increased further by combining discrete-time conversion with stratification and splitting.Keywords
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