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Using Simulation to Estimate First Passage Distribution

Author

Listed:
  • Sheldon M. Ross

    (Department of Industrial Engineering and Operations Research, University of California, Berkeley, California 94720)

  • Zvi Schechner

    (Department of Industrial Engineering and Operations Research, Columbia University, New York, New York 10027)

Abstract

Consider a discrete time Markov process {X n , n > 0}. For a given subset \scr{A} of the state space, consider the problem of using simulation to estimate the number of transitions it takes the process to enter \scr{A}. Using estimators based on the "observed hazard," we are able to improve on the usual Monte Carlo estimator. We also consider the problem of estimating the distribution of the first state in, \scr{A} to be reached, and then extend our results to continuous time.

Suggested Citation

  • Sheldon M. Ross & Zvi Schechner, 1985. "Using Simulation to Estimate First Passage Distribution," Management Science, INFORMS, vol. 31(2), pages 224-234, February.
    • Handle: RePEc:inm:ormnsc:v:31:y:1985:i:2:p:224-234
    DOI: 10.1287/mnsc.31.2.224
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