Exact Simulation of Non-Stationary Reflected Brownian Motion
| Author | : Mohammad Mousavi |
| Publisher | : |
| Total Pages | : 0 |
| Release | : 2013 |
| ISBN-10 | : OCLC:1375232276 |
| ISBN-13 | : |
| Rating | : 4/5 ( Downloads) |
Book Synopsis Exact Simulation of Non-Stationary Reflected Brownian Motion by : Mohammad Mousavi
Download or read book Exact Simulation of Non-Stationary Reflected Brownian Motion written by Mohammad Mousavi and published by . This book was released on 2013 with total page 0 pages. Available in PDF, EPUB and Kindle. Book excerpt: 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. The method can be used as a guide for planning simulations of complex queueing systems with non-stationary arrival rates and/or service time.
