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Zero-Variance Importance Sampling Estimators for Markov Process Expectations
Importance sampling Markov process simulation
2015/7/6
We consider the use of importance sampling to compute expectations of functionals of Markov processes. For a class of expectations that can be characterized as positive solutions to a linear system, w...
On Lyapunov Inequalities and Subsolutions for Efficient Importance Sampling
Lyapunov Inequalities Efficient Importance Sampling
2015/7/6
In this article we explain some connections between Lyapunov methods and subsolutions of an associated Isaacs equation for the design of efficient importance sampling schemes. As we shall see, subsolu...