Automated State-Dependent Importance Sampling for Markov Jump Processes via Sampling from the Zero-Variance Distribution

Adam W. Grace, Dirk P. Kroese, Werner Sandmann. Automated State-Dependent Importance Sampling for Markov Jump Processes via Sampling from the Zero-Variance Distribution. J. Applied Probability, 51(3):741-755, 2014. [doi]

Abstract

Abstract is missing.