Accession Number:

ADA149092

Title:

Regenerative Structure of Markov Chains Simulated via Common Random Numbers.

Descriptive Note:

Technicl summary rept.,

Corporate Author:

WISCONSIN UNIV-MADISON MATHEMATICS RESEARCH CENTER

Personal Author(s):

Report Date:

1984-10-01

Pagination or Media Count:

14.0

Abstract:

A standard strategy in simulation, for comparing two stochastic systems, is to use a common sequence of random numbers to drive both systems. Certain theoretical and methodological results require that the coupled system be regenerative. It is shown that if the stochastic systems are Markov chains with countable state space, then the coupled system is necessarily regenerative. An example is given which shows that the regenerative property can fail to hold in general state space, even if the individual systems are regenerative.

Subject Categories:

  • Statistics and Probability

Distribution Statement:

APPROVED FOR PUBLIC RELEASE