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The Covariance Function of a Regenerative Process
Regenerative process renewal function stationary process steady-state simulation
2015/7/8
In this paper, we develop regenerative representations for the covariance function of both a non-delayed regenerative process and a stationary regenerative process. These results are used to obtain co...
Approximating Martingales for Variance Reduction in Markov Process Simulation
Variance reduction Markov process simulation martingale
2015/7/8
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
Rare Event Simulation for a Generalized Hawkes Process
Rare Event Simulation Generalized Hawkes Process
2015/7/6
In this paper we study rare event simulation for the tail probability of an affine point process (Jt)t≥0 that generalizes the Hawkes process. By constructing a suitable exponential martingale, we are ...