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This paper contrasts exact simulation against exact estimation in two different computational settings, namely that of numerical solution of stochastic differential equations and also in the context of equilibrium calculations for Markov chains. Both exact simulation and exact estimation methods can provide unbiased estimators capable of converging at square root rate in the computational effort c...
We propose a new algorithm for identifying the duration of the initial transient for a regenerative stochastic process. The algorithm involves re-sampling of the simulated cycles, and therefore has a “bootstrap” flavor. The paper includes a derivation of the estimator for the duration of the transient that offers theoretical support for its validity, and provides a preliminary numerical investigation...
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