Uniform CLT for Markov chains with a countable state space

Quasi-Monte Carlo methods for Markov cha

Quasi-Monte Carlo methods for Markov chains with continuous multi-dimensional state space

✍ R. El Haddad; C. Lécot; P. L’Ecuyer; N. Nassif 📂 Article 📅 2010 🏛 Elsevier Science 🌐 English ⚖ 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