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Multilevel Monte Carlo for Continuous Time Markov Chains, with Applications in Biochemical Kinetics

✍ Scribed by Anderson, David F.; Higham, Desmond J.

Book ID
118212073
Publisher
Society for Industrial and Applied Mathematics
Year
2012
Tongue
English
Weight
392 KB
Volume
10
Category
Article
ISSN
1540-3459

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Quasi-Monte Carlo methods for Markov cha
Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space
✍ R. El Haddad; C. LΓ©cot; P. L’Ecuyer; N. Nassif πŸ“‚ Article πŸ“… 2010 πŸ› Elsevier Science 🌐 English βš– 297 KB

We describe a quasi-Monte Carlo method for the simulation of discrete time Markov chains with continuous multi-dimensional state space. The method simulates copies of the chain in parallel. At each step the copies are reordered according to their successive coordinates. We prove the convergence of t