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An application of the theory of semi–Markov processes in simulation
2007
Recent Advances in Stochastic Modeling and Data Analysis
Importance Sampling (IS) is a well-known Monte Carlo method which is used in order to estimate expectations with respect to a target distribution π, using a sample from another distribution g and weighting properly the output. Here, we consider IS from a different point of view. By considering the weights as sojourn times until the next jump, we associate a jump process with the weighted sample. Under certain conditions, the associated jump process is an ergodic semi-Markov process with
doi:10.1142/9789812709691_0026
fatcat:mmcvzjj7gfdxbjemnr6cusu7e4