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.
Full Citation
Glasserman, Paul. “Infinitesimal perturbation analysis of a birth and death process.”
Operations Research Letters
vol. 7,
(February 01, 1988): 43-49.