Simulating the maximum of a random walk
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Publication:1973290
DOI10.1016/S0378-3758(99)00075-0zbMath0974.60030OpenAlexW2043283900MaRDI QIDQ1973290
Peter W. Glynn, Katherine Bennett Ensor
Publication date: 16 December 2001
Published in: Journal of Statistical Planning and Inference (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/s0378-3758(99)00075-0
Sums of independent random variables; random walks (60G50) Queueing theory (aspects of probability theory) (60K25) Queues and service in operations research (90B22)
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Cites Work
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- Exponential families and regression in the Monte Carlo study of queues and random walks
- Sequential analysis. Tests and confidence intervals
- Technical Note—Simulating the GI/G/1 Queue in Heavy Traffic
- Approximation Theorems of Mathematical Statistics
- Queueing Simulation in Heavy Traffic
- The Asymptotic Efficiency of Simulation Estimators
- Stationarity detection in the initial transient problem
- Exact sampling with coupled Markov chains and applications to statistical mechanics
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