Infinitesimal perturbation analysis of a birth and death process

Authors:
Paul Glasserman
Affiliations:
Division of Applied Sciences, Harvard University, G9 Pierce Hall, Cambridge, MA 02138, USA
Venue:
Operations Research Letters
Year:
1988

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Abstract

Using a birth and death process as an illustrative example, we introduce the notion of alternative representations of stochastic processes and discuss its importance for infinitesimal perturbation analysis derivative estimation. Through a different choice of representation, we are led to an IPA algorithm for a birth and death process better than one discussed by other authors.