非平稳反射布朗运动的精确模拟

Financial Engineering eJournal Pub Date : 2013-12-22 DOI:10.2139/ssrn.2373347

M. Mousavi, P. Glynn

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引用次数: 3

摘要

本文提出了具有非平稳漂移和无限小方差的反射布朗运动(RBM)精确模拟的第一种方法。在任意时刻$t$生成非平稳RBM精确样本的运行时间均匀地以$\mathcal{O}(1/\bar\gamma^2)$为界，其中$\bar\gamma$为过程的平均漂移。该方法可用于具有非平稳到达率和/或服务时间的复杂排队系统的规划仿真。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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Exact Simulation of Non-Stationary Reflected Brownian Motion

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 $\mathcal{O}(1/\bar\gamma^2)$ where $\bar\gamma$ 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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Financial Engineering eJournal

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