Exact simulation of continuous time Markov jump processes with anticorrelated variance reduced Monte Carlo Estimation
P. A. Maginnis, M. West, and G. E. Dullerud
in Proceedings of the 53rd IEEE Conference on Decision and Control (CDC 2014), 3401-3407, 2014.
We provide an exact, continuous time extension to previous work in anticorrelated stochastic process simulation that was performed in an approximate, discrete time setting. These methods reduce the variance of continuous time Monte Carlo for Markov jump process systems. We rigorously construct antithetic Poisson processes and analytically prove the negative correlation between pairs. We then show how these anticorrelated Poisson processes can be used to drive Markov jump processes via a random time change representation. Finally, we provide a sufficient condition for variance reduction in the jump process context as well as demonstrate a simple example.
Full text: MaWeDu2014.pdf