Estimating by Simulation the Distribution of Hitting Times to Rarely Visited Sets Using Exponential Approximations
For a regenerative process, we propose various estimators of the cumulative distribution function, density function and quantile of the cumulative reward up to hitting a rarely visited set of states. The approaches exploit existing weak-convergence results for the hitting-time distribution, and we apply simulation to efficiently estimate parameters of the limiting distribution.
Based on joint works with P.W. Glynn and M/K. Nakayama.