Asymptotic Formulas for Markov Processes with Applications to Simulation
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DOI: 10.1287/opre.40.2.279
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Cited by:
- Choi, Michael C.H. & Li, Evelyn, 2019. "A Hoeffding’s inequality for uniformly ergodic diffusion process," Statistics & Probability Letters, Elsevier, vol. 150(C), pages 23-28.
- Yunan Liu & Ward Whitt & Yao Yu, 2016. "Approximations for heavily loaded G/GI/n + GI queues," Naval Research Logistics (NRL), John Wiley & Sons, vol. 63(3), pages 187-217, April.
- Kerry W. Fendick, 2013. "Pricing and Hedging Derivative Securities with Unknown Local Volatilities," Papers 1309.6164, arXiv.org, revised Oct 2013.
- Whitt, Ward, 2012. "Fitting birth-and-death queueing models to data," Statistics & Probability Letters, Elsevier, vol. 82(5), pages 998-1004.
- Joost Berkhout & Bernd F. Heidergott, 2019. "Analysis of Markov Influence Graphs," Operations Research, INFORMS, vol. 67(3), pages 892-904, May.
- Jing Dong, 2022. "Metastability in queues," Queueing Systems: Theory and Applications, Springer, vol. 100(3), pages 413-415, April.
- Fen-Ru Shih & Mainak Mazumdar & Jeremy A. Bloom, 1999. "Asymptotic Mean and Variance of Electric Power Generation System Production Costs via Recursive Computation of the Fundamental Matrix of a Markov Chain," Operations Research, INFORMS, vol. 47(5), pages 703-712, October.
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Keywords
probability; diffusion: the asymptotic variance of the sample mean; probability; Markov processes: potential theory and Poisson's equation; simulation; design of experiments: required run lengths;All these keywords.
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