Exact Sampling of the Infinite Horizon Maximum of a Random Walk Over a Non-linear Boundary
Probability
2016-09-27 v2 Computation
Abstract
We present the first algorithm that samples where is a mean zero random walk, and with defines a nonliner boundary. We show that our algorithm has finite expected running time. We also apply the algorithm to construct the first exact simulation method for the steady-state departure process of a queue where the service time distribution has infinite mean.
Cite
@article{arxiv.1609.06402,
title = {Exact Sampling of the Infinite Horizon Maximum of a Random Walk Over a Non-linear Boundary},
author = {Jose Blanchet and Jing Dong and Zhipeng Liu},
journal= {arXiv preprint arXiv:1609.06402},
year = {2016}
}