Exact Simulation of Non-stationary Reflected Brownian Motion

2013/12/23 by Mousavi, Mohammad, Glynn, Peter W.
#Computational Engineering #Computational Finance (q-fin.CP) #FOS: Computer and information sciences #FOS: Economics and business #FOS: Mathematics #Finance #Probability (math.PR) #and Science (cs.CE)

paper · doi:10.48550/arxiv.1312.6456

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 O(1/γ²) where γ 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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