Simulating the maximum of a random walk

DOI10.1016/S0378-3758(99)00075-0zbMath0974.60030OpenAlexW2043283900MaRDI QIDQ1973290

Peter W. Glynn, Katherine Bennett Ensor

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

simulationrandom walk

Mathematics Subject Classification ID

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

Related Items (14)

Entrance times of random walks: with applications to pension fund modeling ⋮ Double Happiness: Enhancing the Coupled Gains of L-lag Coupling via Control Variates ⋮ Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals ⋮ Steady-state simulation of reflected Brownian motion and related stochastic networks ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue ⋮ NEW ESTIMATORS FOR EFFICIENT GI/G/1 SIMULATION ⋮ A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails ⋮ Exact simulation of the extrema of stable processes ⋮ Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary ⋮ Perfect Sampling of Generalized Jackson Networks ⋮ Perfect sampling of GI/GI/\(c\) queues ⋮ Exact estimation for Markov chain equilibrium expectations ⋮ Perfect sampling of a single-server queue with periodic Poisson arrivals

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Exponential families and regression in the Monte Carlo study of queues and random walks
• Sequential analysis. Tests and confidence intervals
• Technical Note—Simulating the GI/G/1 Queue in Heavy Traffic
• Approximation Theorems of Mathematical Statistics
• Queueing Simulation in Heavy Traffic
• The Asymptotic Efficiency of Simulation Estimators
• Stationarity detection in the initial transient problem
• Exact sampling with coupled Markov chains and applications to statistical mechanics

This page was built for publication: Simulating the maximum of a random walk