Discrete-time Conversion for Simulating Finite-Horizon Markov Processes

B. L. Fox and P. W. Glynn

SIAM J. Appl. Math. Vol. 50, 1457-1473 (1990)

The expectations of certain integrals of functionals of continuous-time Markov chains over a finite horizon, fixed or random, are estimated via simulation. By computing conditional expectations given the sequence of states visited (and possibly other information), variance is reduced. This is discrete-time conversion. Efficiency is increased further by combining discrete-time conversion with stratification and splitting.