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arXiv · 1312.6456

Exact Simulation of Non-stationary Reflected Brownian Motion

Mohammad Mousavi·Peter W. Glynn
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Abstract

This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generating exact samples of non-stationary RBM at any time $t$ is uniformly bounded by $\mathcal{O}(1/\barγ^2)$ where $\barγ$ is the average drift of the process. The method can be used as a guide for planning simulations of complex queueing systems with non-stationary arrival rates and/or service time.

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BibTeXRIS

Mohammad Mousavi, Peter W. Glynn. 2013-12-23. Exact Simulation of Non-stationary Reflected Brownian Motion. https://arxiv.org/abs/1312.6456

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