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Importance sampling for Jackson networks
13 references·1 citing·37 second hop
Importance sampling for Jackson networks (2009)Importance sampling for Jackson networksDynamic importance sampling for queueing networks (2007)Dynamic importance sampling f…Competition and Efficiency in Congested Markets (2007)Competition and Efficiency in…Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances (2006)Chapter 11 Rare-Event Simulat…Dynamic Importance Sampling for Queueing Networks (2005)Dynamic Importance Sampling f…Controlled Markov Processes and Viscosity Solutions (2005)Controlled Markov Processes a…Importance Sampling, Large Deviations, and Differential Games (2004)Importance Sampling, Large De…Fast simulation of rare events in queueing and reliability models (1995)Fast simulation of rare event…Analysis of an importance sampling estimator for tandem queues (1995)Analysis of an importance sam…Stability of Generalized Jackson Networks (1994)Stability of Generalized Jack…Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue (1991)Large deviations theory and e…A quick simulation method for excessive backlogs in networks of queues (1989)A quick simulation method for…Simulation methods for queues: An overview (1988)Simulation methods for queues…Applied Probability and Queues (1987)Applied Probability and QueuesState-dependent importance sampling for rare-event simulation: An overview and recent advances (2011)State-dependent importance sa…The Pricing of Options and Corporate Liabilities (1973)Stochastic Differential Equations and Diffusion Processes (1983)Backward Stochastic Differential Equations in Finance (1997)Martingale Methods in Financial Modelling (1997)Brownian Motion and Stochastic Calculus (2007)Mean field games (2007)ON THE PRICING OF CORPORATE DEBT: THE RISK STRUCTURE OF INTEREST RATES* (1974)Modelling of extremal events in insurance and finance (1994)Monte Carlo Methods in Financial Engineering (2003)Efficient rare-event simulation for the maximum of heavy-tailed random walks (2008)Portfolio Credit Risk with Extremal Dependence: Asymptotic Analysis and Efficient Simulation (2008)Asymptotic robustness of estimators in rare-event simulation (2010)The existence of value in differential games (1972)Numerical Methods for Stochastic Control Problems in Continuous Time (1990)On the theory of queues with many servers (1955)Importance Sampling for Stochastic Simulations (1989)Stability, queue length, and delay of deterministic and stochastic queueing networks (1994)Proceedings of the 2002 Winter Simulation Conference (2002)Importance Sampling for Portfolio Credit Risk (2005)Rare Event Simulation using Monte Carlo Methods (2009)Introduction to Stochastic Processes (2014)Multilevel Splitting for Estimating Rare Event Probabilities (1999)Applied Probability and Queues (2003)The Economics of Welfare (1933)Existence and Uniqueness of Equilibrium Points for Concave N-Person Games (1965)The Theory of Industrial Organization (1988)Price and capacity competition (2008)The Impact of Oligopolistic Competition in Networks (2009)Network Games: Theory, Models, and Dynamics (2011)Stability conditions for multiclass fluid queueing networks (1996)Stability of Queueing Networks (2008)Stability of queueing networks (2008)Optimization of computer simulation models with rare events (1997)Quick simulation: a review of importance sampling techniques in communications systems (1997)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)
this work references cited by second hop

References

  • 1987Applied Probability and Queues2,704 cited
  • 2005Controlled Markov Processes and Viscosity Solutions2,698 cited
  • 1995Fast simulation of rare events in queueing and reliability models546 cited
  • 1989A quick simulation method for excessive backlogs in networks of queues269 cited
  • 2007Competition and Efficiency in Congested Markets228 cited
  • 2006Chapter 11 Rare-Event Simulation Techniques: An Introduction and Recent Advances180 cited
  • 1994Stability of Generalized Jackson Networks170 cited
  • 2004Importance Sampling, Large Deviations, and Differential Games147 cited
  • 1991Large deviations theory and efficient simulation of excessive backlogs in a GI/GI/m queue143 cited
  • 1995Analysis of an importance sampling estimator for tandem queues136 cited
  • 2005Dynamic Importance Sampling for Queueing Networks92 cited
  • 2007Dynamic importance sampling for queueing networks76 cited
  • 1988Simulation methods for queues: An overview73 cited

Cited by

  • 2011State-dependent importance sampling for rare-event simulation: An overview and recent advances64 cited

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