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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 $\mathcal{O}(1/\barγ^2)$ 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.

preprint2013arXivOpen access
Mohammad MousaviPeter W. Glynn
Computational Engineering, Finance, and Scienceq-fin.CPmath.PR
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Mohammad MousaviPeter W. Glynn

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