Exact Simulation of Non-Stationary Reflected Brownian Motion

This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time t is uniformly bounded. The method can be used as a guide for planning simulations of complex queueing systems with non-stationary arrival rates and/or service time

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Year of publication:	2013
Authors:	Mousavi, Mohammad ; Glynn, Peter
Publisher:	[S.l.] : SSRN
Subject:	Stochastischer Prozess \| Stochastic process \| Simulation \| Theorie \| Theory

Extent:	1 Online-Ressource (41 p)
Type of publication:	Book / Working Paper
Language:	English
Notes:	Nach Informationen von SSRN wurde die ursprüngliche Fassung des Dokuments December 22, 2013 erstellt
Other identifiers:	10.2139/ssrn.2373347 [DOI]
Classification:	C15 - Statistical Simulation Methods; Monte Carlo Methods ; C44 - Statistical Decision Theory; Operations Research
Source:	ECONIS - Online Catalogue of the ZBW

Persistent link: https://www.econbiz.de/10014037824