Using Simulation to Estimate First Passage Distribution

Sheldon M. Ross and Zvi Schechner
Additional contact information
Sheldon M. Ross: Department of Industrial Engineering and Operations Research, University of California, Berkeley, California 94720
Zvi Schechner: Department of Industrial Engineering and Operations Research, Columbia University, New York, New York 10027

Management Science, 1985, vol. 31, issue 2, 224-234

Abstract: Consider a discrete time Markov process {X n , n > 0}. For a given subset \scr{A} of the state space, consider the problem of using simulation to estimate the number of transitions it takes the process to enter \scr{A}. Using estimators based on the "observed hazard," we are able to improve on the usual Monte Carlo estimator. We also consider the problem of estimating the distribution of the first state in, \scr{A} to be reached, and then extend our results to continuous time.

Keywords: simulation; first passage distribution; variance reduction; conditional Monte Carlo (search for similar items in EconPapers)
Date: 1985
References: Add references at CitEc
Citations:

Downloads: (external link)
http://dx.doi.org/10.1287/mnsc.31.2.224 (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:inm:ormnsc:v:31:y:1985:i:2:p:224-234

Access Statistics for this article

More articles in Management Science from INFORMS Contact information at EDIRC.
Bibliographic data for series maintained by Chris Asher ().