Derivatives of Markov Processes and Their Simulation

Pflug, Georg

doi:10.1007/978-0-387-74759-0_118

Derivatives of Markov Processes and Their Simulation

Georg Pflug³

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Keywords

Introduction

Process Derivatives

Distributional Derivatives

Regenerative Processes

References

Pflug GCh (1996) Optimization of stochastic models: the interface between simulation and optimization. Kluwer, Dordrecht
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Rubinstein RY, Shapiro A (1993) Discrete event systems: Sensitivity and stochastic optimization by the score function method. Wiley, New York
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Authors and Affiliations

University Vienna, Vienna, Austria
Georg Pflug

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Georg Pflug
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Department of Chemical Engineering, Princeton University, Princeton, NJ, 08544-5263, USA
Christodoulos A. Floudas
Center for Applied Optimization, Department of Industrial and Systems Engineering, University of Florida, Gainesville, FL, 32611-6595, USA
Panos M. Pardalos

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Pflug, G. (2008). Derivatives of Markov Processes and Their Simulation . In: Floudas, C., Pardalos, P. (eds) Encyclopedia of Optimization. Springer, Boston, MA. https://doi.org/10.1007/978-0-387-74759-0_118

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DOI: https://doi.org/10.1007/978-0-387-74759-0_118
Publisher Name: Springer, Boston, MA
Print ISBN: 978-0-387-74758-3
Online ISBN: 978-0-387-74759-0
eBook Packages: Mathematics and StatisticsReference Module Computer Science and Engineering

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