Likelihood ratio derviative estimators for stochastic systems

This paper discusses likelihood ratio derivative estimation techniques for stochastic systems. After a brief review of the basic concepts, likelihood ratio derivative estimators are presented for the following classes of stochastic processes: time homogeneous discrete-time Markov chains, non-time homogeneous discrete-time Markov chains, time homogeneous continuous-time Markov chains, semi-Markov processes, non-time homogeneous continuous-time Markov chains, and generalized semi-Markov processes.