Recursive moment formulas for regenerative simulation
暂无分享,去创建一个
Let f be a real-valued function defined on the state space of a regenerative process \( \mathop X\limits_ \eqsim = \left\{ {X\left( t \right):t \geqslant 0} \right\}\) with regeneration times 0 = T0 < T1 <..., and suppose that
$$ {r_t} = \frac{1}{t}\int_0^t {f\left( {X\left( s \right)} \right)ds \to r\quad a.s.} $$
(1.1)
as t → ∞.
[1] D. Iglehart,et al. Discrete time methods for simulating continuous time Markov chains , 1976, Advances in Applied Probability.
[2] P. Glynn. Asymptotic Theory for Nonparametric Confidence Intervals. , 1982 .
[3] Michael A. Crane,et al. Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations , 1975, Oper. Res..