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This paper applies importance sampling simulation for estimating rare event probabilities of the first passage time in the infinite server queue with renewal arrivals and general service time distributions. We consider importance sampling algorithms which are based on large deviations results of...
Persistent link: https://www.econbiz.de/10004973544
We develop a methodology for studying “large deviations type” questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a large class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals...
Persistent link: https://www.econbiz.de/10010999854
Persistent link: https://www.econbiz.de/10005312001
There are various importance sampling schemes to estimate rare event probabilities in Markovian systems such as Markovian reliability models and Jackson networks. In this work, we present a general state-dependent importance sampling method which partitions the state space and applies the...
Persistent link: https://www.econbiz.de/10008865320
We develop a methodology for studying “large deviations type” questions. Our approach does not require that the large deviations principle holds, and is thus applicable to a large class of systems. We study a system of queues with exponential servers, which share an arrival stream. Arrivals...
Persistent link: https://www.econbiz.de/10010759445
Persistent link: https://www.econbiz.de/10012240237
Persistent link: https://www.econbiz.de/10012537073
In service systems, in order to balance the server’s idle times and the customers’ waiting times, one may fix the arrival times of the customers beforehand in an appointment schedule. We propose a procedure for determining appointment schedules in such a D/G/1-type of system by sequentially...
Persistent link: https://www.econbiz.de/10011097734
This paper focuses on numerical evaluation techniques related to fluctuation theory for Lévy processes; they can be applied in various domains, e.g., in finance in the pricing of so-called barrier options. More specifically, with $$\bar{X}_t:= \sup _{0\le s\le t} X_s$$ denoting the running...
Persistent link: https://www.econbiz.de/10010847682
type="main" <p>This paper studies one-dimensional Ornstein–Uhlenbeck (OU) processes, with the distinguishing feature that they are reflected on a single boundary (put at level 0) or two boundaries (put at levels 0 and d  0). In the literature, they are referred to as reflected OU (ROU) and...</p>
Persistent link: https://www.econbiz.de/10011037884