# 1 Simulating Markov chains

@inproceedings{Sigman20131SM, title={1 Simulating Markov chains}, author={Karl Sigman}, year={2013} }

- Published 2013

Many stochastic processes used for the modeling of systems in engineering are Markovian, and this makes it relatively easy to simulate from them. Recall, for example, the Binomial Lattice Model for risky assets (stock), or the FIFO delay sequence for the GI/GI/1 queue; those are Markov chains. Here we present a brief introduction to the simulation of Markov chains in general. Our emphasis is on discrete-state chains both in discrete and continuous time, but some examples with a general state… CONTINUE READING

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