Accession Number : ADA132328

Title :   Using Simulation to Estimate First Passage Distributions.

Descriptive Note : Research rept.,

Corporate Author : CALIFORNIA UNIV BERKELEY OPERATIONS RESEARCH CENTER

Personal Author(s) : Ross,Sheldon M ; Schechner,Zvi

PDF Url : ADA132328

Report Date : Jan 1983

Pagination or Media Count : 25

Abstract : Consider a discrete time Markov process (X sub n, n or = 0). For a given subset A of the state space consider the problem of using simulation to estimate the number of transitions it takes the process to enter 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 A to be reached, and then extend our results to continuous time.

Descriptors :   *Markov processes, Distribution functions, Simulation, Estimates, Approximation(Mathematics), Random variables, Monte Carlo method

Subject Categories : Statistics and Probability

Distribution Statement : APPROVED FOR PUBLIC RELEASE