Rate of convergence for derivative estimation of discrete-time Markov chains via finite-difference approximation with common random numbers

SIAM Journal on Applied Mathematics

Volumn 57, Issue 3, 1997, Pages 731-751

  Dai, Liyi ^a  

^a WASHINGTON UNIVERSITY   (United States)

Author keywords

Common random number; Derivative estimation; Discrete time Markov chain; Infinite horizon; Simulation

Indexed keywords

APPROXIMATION THEORY; COMPUTER SIMULATION; CONVERGENCE OF NUMERICAL METHODS; DIFFERENTIATION (CALCULUS); FINITE DIFFERENCE METHOD; PROBABILITY; RANDOM NUMBER GENERATION;

COMMON RANDOM NUMBERS (CRN); DISCRETE TIME MARKOV CHAINS;

MARKOV PROCESSES;

EID: 0031168193     PISSN: 00361399     EISSN: None     Source Type: Journal    
DOI: 10.1137/S003613999427173X     Document Type: Article

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