Download This PaperExact Simulation of Non-Stationary Reflected Brownian Motion
41 Pages Posted: 31 Dec 2013
Date Written: December 22, 2013
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. The method can be used as a guide for planning simulations of complex queueing systems with non-stationary arrival rates and/or service time.
Keywords: Non-stationary Queue, exact simulation, RBM, planing simualtion
JEL Classification: C15, C44
Suggested Citation: Suggested Citation
Mousavi, Mohammad and Glynn, Peter, Exact Simulation of Non-Stationary Reflected Brownian Motion (December 22, 2013). Available at SSRN: https://ssrn.com/abstract=2373347 or http://dx.doi.org/10.2139/ssrn.2373347
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