Steady-state simulation of reflected Brownian motion and related stochastic networks
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Publication:894805
DOI10.1214/14-AAP1072zbMath1332.60120arXiv1202.2062MaRDI QIDQ894805
Publication date: 24 November 2015
Published in: The Annals of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1202.2062
wavelet representationstochastic networkssteady-state simulationreflected Brownian motiondominated coupling
Related Items (17)
Efficient Steady-State Simulation of High-Dimensional Stochastic Networks ⋮ Perfect Sampling of Hawkes Processes and Queues with Hawkes Arrivals ⋮ Simulation of reflected Brownian motion on two dimensional wedges ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Rates of Convergence to Stationarity for Reflected Brownian Motion ⋮ Perfect simulation of M/G/c queues ⋮ A dichotomy for sampling barrier-crossing events of random walks with regularly varying tails ⋮ Exact simulation of multidimensional reflected Brownian motion ⋮ Efficient simulation of generalized SABR and stochastic local volatility models based on Markov chain approximations ⋮ Exact sampling for some multi-dimensional queueing models with renewal input ⋮ Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary ⋮ Perfect Sampling of Generalized Jackson Networks ⋮ On the optimal design of the randomized unbiased Monte Carlo estimators ⋮ Perfect sampling of GI/GI/\(c\) queues ⋮ Ergodic property of Langevin systems with superstatistical, uncorrelated or correlated diffusivity ⋮ On logarithmically optimal exact simulation of max-stable and related random fields on a compact set ⋮ ɛ-Strong Simulation of Fractional Brownian Motion and Related Stochastic Differential Equations
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