A Note on External Uniformization for Finite Markov Chains in Continuous Time
1992 ◽
Vol 6
(1)
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pp. 127-131
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An external uniformization technique was developed by Ross [4] to obtain approximations of transition probabilities of finite Markov chains in continuous time. Yoon and Shanthikumar [7] then reported through extensive numerical experiments that this technique performs quite well compared to other existing methods. In this paper, we show that external uniformization results from the strong law of large numbers whose underlying distributions are exponential. Based on this observation, some remarks regarding properties of the approximation are given.
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2017 ◽
Vol 32
(4)
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pp. 626-639
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2019 ◽
pp. 1-19
2009 ◽
Vol 430
(11-12)
◽
pp. 3008-3018
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2016 ◽
Vol 46
(19)
◽
pp. 9415-9424
2008 ◽
Vol 51
(2)
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pp. 195-202
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