Simulating the maximum of a random walk
DOI10.1016/S0378-3758(99)00075-0zbMATH Open0974.60030OpenAlexW2043283900MaRDI QIDQ1973290FDOQ1973290
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
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Queues and service in operations research (90B22) Queueing theory (aspects of probability theory) (60K25) Sums of independent random variables; random walks (60G50)
Cites Work
- Approximation Theorems of Mathematical Statistics
- Sequential analysis. Tests and confidence intervals
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- Exact sampling with coupled Markov chains and applications to statistical mechanics
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- Stationarity detection in the initial transient problem
- The Asymptotic Efficiency of Simulation Estimators
- Exponential families and regression in the Monte Carlo study of queues and random walks
- Technical Note—Simulating the GI/G/1 Queue in Heavy Traffic
- Queueing Simulation in Heavy Traffic
Cited In (17)
- 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
- \(\varepsilon\)-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
- Simulation-based computation of the workload correlation function in a Lévy-driven queue
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