A survey on computer generation of some classes of stochastic processes

Ileana Popescu and Ion Vaduva

Mathematics and Computers in Simulation (MATCOM), 1991, vol. 33, issue 3, 223-241

Abstract: This survey paper presents a collection of algorithms for computer generation of trajectories of some classes of stochastic processes such as various types of finite Markov chains (including simple or multiple Galton-Watson chains), Markov renewal processes, stochastic systems with complete connections, J-X processes and renewal systems with complete connections. The algorithms are mainly based on some particular properties of the considered stochastic processes. Details concerning preliminary data necessary for the implementation of these algorithms and some examples are also presented.

Date: 1991
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Persistent link: https://EconPapers.repec.org/RePEc:eee:matcom:v:33:y:1991:i:3:p:223-241

DOI: 10.1016/0378-4754(91)90121-I

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