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Coverage error asymptotics for confidence intervals arising in simulation are discussed~ Asymptotic expansions, to order O(n-1) (n is the sample size), are given for confidence intervals associated wi...
This paper provides an asymptotically efficient algorithm for the allocation of computing resources to the problem of Monte Carlo integration of continuous-time security prices. The tradeoff between i...
This paper is concerned with various aspects of the simulation of one-dimensional reflected (or regulated) Brownian motion. The main result shows that the discretization error associated with the Eule...
This paper is concerned with the use of simulation to compute the conditional expectations that arise in the method of conditional least squares. Our approach involves performing simulations at each p...
Consider the problem of numerically computing the exponential rate at which the tail of the hitting time of a Markov chain to a given set decreases to zero. One approach involves computing the solutio...
In this paper we consider the use of coupling ideas in efficiently computing a certain class of transient performance measures. Specifically, we consider the setting in which the stationary distributi...
We introduce a new class of density estimators, termed look-ahead density estimators, for performance measures associated with a Markov chain. Look-ahead density estimators are given for both transien...
In this paper, we study the two-sided taboo limit processes that arise when a Markov chain or process is conditioned on staying in some set A for a long period of time. The taboo limit is time-homogen...
The theory of standardized time series, initially proposed to estimate a single steady-state mean from the output of a simulation, is extended to the case where more than one steady-state mean is to b...
The regenerative method possesses certain asymptotic properties that dominate those of other steady-state simulation output analysis methods, such as batch means. Therefore, applying the regenerative ...
We discuss rare-event simulation methodology for computing tail probabilities for infinite-server queues. Our theoretical discussion also offers some new simulation insights into the change-of-measure...
“Knowledge of either analytical or numerical approximations should enable more efficient simulation estimators to be constructed.” This principle seems intuitively plausible and certainly attractive, ...
This chapter is concerned with reviewing the basic ideas and concepts underlying the use of regenerative structure in the development of efficient simulation algorithms. While it has long been known t...
In many stochastic models, it is known that the response surface corresponding to a particular performance measure is monotone in the underlying parameter. For example, the steady-state mean waiting t...
We develop a class of techniques for analyzing the output of simulations of a semi-regenerative process. Called the semi-regenerative method, the approach is a generalization of the regenerative metho...

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