Steady-state simulation of reflected Brownian motion and related stochastic networks
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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.
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Cites work
- scientific article; zbMATH DE number 1354815 (Why is no real title available?)
- scientific article; zbMATH DE number 1547390 (Why is no real title available?)
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Cited in
(18)- Exact sampling for some multi-dimensional queueing models with renewal input
- \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
- Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations
- Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals
- ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
- A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails
- A broader view of Brownian networks
- Exact simulation of multidimensional reflected Brownian motion
- Perfect Sampling of Generalized Jackson Networks
- Simulation of reflected Brownian motion on two dimensional wedges
- Perfect sampling of GI/GI/\(c\) queues
- Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary
- On the optimal design of the randomized unbiased Monte Carlo estimators
- Rates of convergence to stationarity for reflected Brownian motion
- Ergodic property of Langevin systems with superstatistical, uncorrelated or correlated diffusivity
- On logarithmically optimal exact simulation of max-stable and related random fields on a compact set
- Efficient steady-state simulation of high-dimensional stochastic networks
- Perfect simulation of \(\mathrm{M}/\mathrm{G}/c\) queues
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