Exact Sampling Of The Infinite Horizon Maximum Of A Random Walk Over A Nonlinear Boundary
JOURNAL OF APPLIED PROBABILITY(2019)
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.
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关键词
Exact simulation, Monte Carlo, queueing theory, random walk
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