Rate of Convergence for Derivative Estimation of Discrete-Time Markov Chains via Finite-Difference Approximation with Common Random Numbers.
Liyi DaiPublished in: SIAM J. Appl. Math. (1997)
Keyphrases
- markov chain
- random numbers
- finite difference
- importance sampling
- finite state
- finite element
- steady state
- variance reduction
- uniformly distributed
- numerical analysis
- monte carlo
- markov processes
- transition probabilities
- numerical solution
- level set
- stationary distribution
- partial differential equations
- state space
- random number
- estimation error
- pseudorandom
- markov chain monte carlo
- diffusion equation
- vector autoregressive
- bayesian networks
- pairwise