EXACT SAMPLING OF THE INFINITE HORIZON MAXIMUM OF A RANDOM WALK OVER A NONLINEAR BOUNDARY

被引：0

作者：

Blanchet, Jose ^{[1
]}

Dong, Jing ^{[2
]}

Liu, Zhipeng ^{[3
]}

机构：

[1] Stanford Univ, 475 Via Ortega, Stanford, CA 94305 USA

[2] Columbia Univ, Decis Risk & Operat Div, 3022 Broadway, New York, NY 10027 USA

[3] Columbia Univ, Dept Ind Engn & Operat Res, 500 West 120th St, New York, NY 10027 USA

来源：

JOURNAL OF APPLIED PROBABILITY | 2019年 / 56卷 / 01期

关键词：

Exact simulation; Monte Carlo; queueing theory; random walk;

D O I：

10.1017/jpr.2019.9

中图分类号：

O21 [概率论与数理统计]; C8 [统计学];

学科分类号：

020208 ; 070103 ; 0714 ;

摘要：

We present the first algorithm that samples max(n >= 0){S-n - n(alpha)}, where S-n is a mean zero random walk, and n(alpha) with alpha is an element of (1/2, 1) defines a nonlinear boundary. We show that our algorithm has finite expected running time. We also apply this algorithm to construct the first exact simulation method for the steady-state departure process of a GI/GI/infinity queue where the service time distribution has infinite mean.

引用

页码：116 / 138

页数：23

共 10 条

[1]

Asmussen S., 2003, Applied Probability and Queues

[2] Perfect sampling of GI/GI/c queues [J].