Approximating martingales for variance reduction in Markov process simulation

Mathematics of Operations Research

Volumn 27, Issue 2, 2002, Pages 253-271

  Henderson, Shane G ^a   Glynn, Peter W ^b  

^a Cornell University   (United States)

^b Stanford University   (United States)

Author keywords

Markov process; Martingale; Simulation; Variance reduction

Indexed keywords

BROWNIAN MOVEMENT; COMPUTATIONAL COMPLEXITY; COMPUTER SIMULATION; DIFFERENTIAL EQUATIONS; LINEAR EQUATIONS; MARKOV PROCESSES; MATRIX ALGEBRA; PROBABILITY DISTRIBUTIONS; QUEUEING THEORY; STATE SPACE METHODS;

APPROXIMATING MARTINGALE PROCESS METHOD; TRANSIENT DISTRIBUTIONS; VARIANCE REDUCTION;

APPROXIMATION THEORY;

EID: 0036577053     PISSN: 0364765X     EISSN: None     Source Type: Journal    
DOI: 10.1287/moor.27.2.253.329     Document Type: Article

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