Article contents
Exact sampling of the infinite horizon maximum of a random walk over a nonlinear boundary
Published online by Cambridge University Press: 12 July 2019
Abstract
We present the first algorithm that samples maxn≥0{Sn − nα}, where Sn is a mean zero random walk, and nα with $\alpha \in ({1 \over 2},1)$ 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/∞ queue where the service time distribution has infinite mean.
MSC classification
- Type
- Research Papers
- Information
- Copyright
- © Applied Probability Trust 2019
References
- 1
- Cited by