Steady-state simulation of reflected Brownian motion and related stochastic networks
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Publication:894805
DOI10.1214/14-AAP1072zbMATH Open1332.60120arXiv1202.2062MaRDI QIDQ894805FDOQ894805
Authors: Xinyun Chen, Jose Blanchet 
Publication date: 24 November 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Abstract: This paper develops the first class of algorithms that enable unbiased estimation of steady-state expectations for multidimensional reflected Brownian motion. In order to explain our ideas, we first consider the case of compound Poisson (possibly Markov modulated) input. In this case, we analyze the complexity of our procedure as the dimension of the network increases and show that, under certain assumptions, the algorithm has polynomial-expected termination time. Our methodology includes procedures that are of interest beyond steady-state simulation and reflected processes. For instance, we use wavelets to construct a piecewise linear function that can be guaranteed to be within distance (deterministic) in the uniform norm to Brownian motion in any compact time interval.
Full work available at URL: https://arxiv.org/abs/1202.2062
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Cited In (18)
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- Exact simulation of multidimensional reflected Brownian motion
- A broader view of Brownian networks
- Perfect simulation of \(\mathrm{M}/\mathrm{G}/c\) queues
- Perfect sampling of GI/GI/\(c\) queues
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- On the optimal design of the randomized unbiased Monte Carlo estimators
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
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- Ergodic property of Langevin systems with superstatistical, uncorrelated or correlated diffusivity
- Exact sampling for some multi-dimensional queueing models with renewal input
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
- Rates of convergence to stationarity for reflected Brownian motion
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