Exact Simulation of Non-stationary Reflected Brownian Motion

Mohammad Mousavi and Peter W. Glynn

Papers from arXiv.org

Abstract: This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time $t$ is uniformly bounded by $\mathcal{O}(1/\bar\gamma^2)$ where $\bar\gamma$ is the average drift of the process. The method can be used as a guide for planning simulations of complex queueing systems with non-stationary arrival rates and/or service time.

Date: 2013-12
New Economics Papers: this item is included in nep-cmp and nep-ets
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