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- W2083041806 abstract "This paper develops a rare event simulation algorithm for a discrete-time Markov chain in the first orthant. The algorithm gives a very good estimate of the stationary distribution along one of the axes and it is shown to be efficient. A key idea is to study an associated time reversed Markov chain that starts at the rare event. We will apply the algorithm to a Markov chain related to a Jackson network with two stations." @default.
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- W2083041806 date "2011-09-01" @default.
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- W2083041806 title "Simulating tail asymptotics of a Markov chain" @default.
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- W2083041806 doi "https://doi.org/10.1016/j.spl.2011.04.006" @default.
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