Simulation of the Asymptotic Constant in Some Fluid Models
Let \(Z(t)\) be a stationary centered Gaussian process with Markovian structure. In some fluid models the stationary buffer content \(V\) satisfies \(\mathbb{P}(V>u)= C e^{-\gamma u}(1+o(1))\). The constant \(C\) (mostly unknown) can be expressed by the so called generalized Pickands constants \(H\). The authors present a method of simulation of \(C\) by the use of change of measure technique. For example, this method is applicable when \(Z(t)\) is a stationary Ornstein-Uhlenbeck process. Two examples of simulations are included and a formula for a lower bound for generalized Pickands constants is given.
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