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Approximating Martingales for Variance Reduction in Markov Process Simulation
7 references·3 citing·38 second hop
Approximating Martingales for Variance Reduction in Markov Process Simulation (2002)Approximating Martingales for Variance Re…Queueing Simulation in Heavy Traffic (1992)Queueing Simulation in Heavy …Introduction to Stochastic Integration (1990)Introduction to Stochastic In…Brownian Motion and Stochastic Flow Systems. (1987)Brownian Motion and Stochasti…Applied Probability and Queues (1987)Applied Probability and QueuesIntroduction to Stochastic Integration (1983)Introduction to Stochastic In…A Guide to Simulation (1983)A Guide to SimulationOn the Characteristics of the General Queueing Process, with Applications to Random Walk (1956)On the Characteristics of the…Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats (2013)Optimal Sequential Exploratio…Adaptive Control Variates for Finite-Horizon Simulation (2007)Adaptive Control Variates for…In Search of Sensitivity in Network Optimization (2003)In Search of Sensitivity in N…Numerical Methods for Stochastic Control Problems in Continuous Time (1990)Manufacturing systems engineering (1993)Ergodic Control for Constrained Diffusions: Characterization Using HJB Equations (2004)Dynamic Safety-Stocks for Asymptotic Optimality in Stochastic Networks (2005)The theory of queues with a single server (1952)On the theory of queues with many servers (1955)Weak convergence in queueing theory (1973)Simulating Stable Stochastic Systems, I: General Multiserver Queues (1974)Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Restless bandits: activity allocation in a changing world (1988)Multi-Armed Bandit Allocation Indices. (1990)Monte Carlo Methods in Financial Engineering (2003)Robust Multiarmed Bandit Problems (2015)Multi-Armed Bandits: Theory and Applications to Online Learning in Networks (2019)Sequential Exploration: Valuation with Geological Dependencies and Uncertain Oil Prices (2020)Simulation Modeling and Analysis. (1983)Simulation modeling and analysis (1999)A framework for adaptive Monte Carlo procedures (2011)A framework for adaptive Monte Carlo procedures (2011)Simulating Stable Stochastic Systems: III. Regenerative Processes and Discrete-Event Simulations (1975)Planning Queueing Simulations (1989)Asymptotic Formulas for Markov Processes with Applications to Simulation (1992)Improved Design of Queueing Simulation Experiments with Highly Heteroscedastic Responses (1999)Performance Evaluation and Policy Selection in Multiclass Networks (2003)Consumption and portfolio policies with incomplete markets and short-sale constraints: The infinite dimensional case (1991)The Interaction Between Time-Nonseparable Preferences and Time Aggregation (1993)Stochastic integration in UMD Banach spaces (2007)Costs, effects and C/E‐ratios alongside a clinical trial (1994)Use of Cumulative Sums of Squares for Retrospective Detection of Changes of Variance (1994)Model Transparency and Validation (2012)Stability properties of constrained queueing systems and scheduling policies for maximum throughput in multihop radio networks (1992)Dynamic server allocation to parallel queues with randomly varying connectivity (1993)Asset Pricing with Heterogeneous Consumers (1996)Time-changed Lévy processes and option pricing (2003)Selection, Growth, and the Size Distribution of Firms (2007)A Continuous-Time Version of the Principal–Agent Problem (2008)Ruin problems with assets and liabilities of diffusion type (1999)Stochastic integration in UMD Banach spaces (2007)
this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 1983A Guide to Simulation1,468 cited
  • 1987Brownian Motion and Stochastic Flow Systems.1,091 cited
  • 1983Introduction to Stochastic Integration454 cited
  • 1990Introduction to Stochastic Integration219 cited
  • 1956On the Characteristics of the General Queueing Process, with Applications to Random Walk195 cited
  • 1992Queueing Simulation in Heavy Traffic56 cited

Cited by

  • 2013Optimal Sequential Exploration: Bandits, Clairvoyants, and Wildcats49 cited
  • 2003In Search of Sensitivity in Network Optimization26 cited
  • 2007Adaptive Control Variates for Finite-Horizon Simulation24 cited

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