A Martingale Approach to Regenerative Simulation
نویسندگان
چکیده
The standard regenerative method for estimating steady-state parameters is extended to permit cycles which begin and end in diierent states. This result is established using the Dynkin martingale and a related solution to Poisson's equation. We compare the variance constant which appears in the associated central limit theorem with that arising from cycles that begin and end in the same state. The standard regenerative method has a smaller variance constant than does the alternative.
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تاریخ انتشار 2007