Simulating the maximum of a random walk

DOI10.1016/S0378-3758(99)00075-0MaRDI QIDQ1973290zbMATH OpenOpenAlexFDO

Authors Katherine Bennett Ensor, Peter W. Glynn

Publication date 16 December 2001

Published in Journal of Statistical Planning and Inference (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/s0378-3758(99)00075-0

zbMATH Keywords

random walksimulation

Mathematics Subject Classification ID

Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50)

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Cites work

• scientific article; zbMATH DE number 4013703 (Why is no real title available?)
• scientific article; zbMATH DE number 3815002 (Why is no real title available?)
• scientific article; zbMATH DE number 3538576 (Why is no real title available?)
• Approximation Theorems of Mathematical Statistics
• Exact sampling with coupled Markov chains and applications to statistical mechanics
• Exponential families and regression in the Monte Carlo study of queues and random walks
• Queueing Simulation in Heavy Traffic
• Sequential analysis. Tests and confidence intervals
• Stationarity detection in the initial transient problem
• Technical Note—Simulating the GI/G/1 Queue in Heavy Traffic
• The Asymptotic Efficiency of Simulation Estimators

Cited in

(17)

• Simulation-based computation of the workload correlation function in a Lévy-driven queue
• Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
• The maximum of a random walk whose mean path has a maximum
• Entrance times of random walks: with applications to pension fund modeling
• Perfect sampling of GI/GI/\(c\) queues
• Perfect sampling of a single-server queue with periodic Poisson arrivals
• Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary
• A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
• Perfect Sampling of Generalized Jackson Networks
• Steady-state simulation of reflected Brownian motion and related stochastic networks
• Exact simulation of the extrema of stable processes
• Monte Carlo Algorithms for Finding the Maximum of a Random Walk with Negative Drift
• Double Happiness: Enhancing the Coupled Gains of L-lag Coupling via Control Variates
• NEW ESTIMATORS FOR EFFICIENT GI/G/1 SIMULATION
• -strong simulation of the convex minorants of stable processes and meanders
• Stochastic representations of Max-type functionals of a random walk
• Exact estimation for Markov chain equilibrium expectations

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