Importance Sampling for Continuous Time Markov Chains and Applications to Fluid Models*

Paolo Baldi () and Mauro Piccioni ()
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Paolo Baldi: Universita` di Roma Tor Vergata and Universita` di L'Aquila
Mauro Piccioni: Universita` di Roma Tor Vergata and Universita` di L'Aquila

Methodology and Computing in Applied Probability, 1999, vol. 1, issue 4, 375-390

Abstract: Abstract In this paper we determine the asymptotically efficient change of intensity for some problems of Monte Carlo simulation involving a finite state continuous time Markov process. Firstly, the computation of probabilities of large deviations of empirical averages from their asymptotic mean; second, the computation of probabilities of crossing a large level for the corresponding additive process. We are motivated by the study of overflows in a buffer whose input is modeled as a Markov fluid.

Keywords: asymptotically efficient simulation; Markov fluids; level crossing (search for similar items in EconPapers)
Date: 1999
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Citations: View citations in EconPapers (1)

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DOI: 10.1023/A:1010050800089

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