{
  "id": "1312.6456",
  "version": "v1",
  "published": "2013-12-23T02:50:57.000Z",
  "updated": "2013-12-23T02:50:57.000Z",
  "title": "Exact Simulation of Non-stationary Reflected Brownian Motion",
  "authors": [
    "Mohammad Mousavi",
    "Peter W. Glynn"
  ],
  "categories": [
    "math.PR",
    "cs.CE",
    "q-fin.CP"
  ],
  "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 $\\mathcal{O}(1/\\bar\\gamma^2)$ 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.",
  "revisions": [
    {
      "version": "v1",
      "updated": "2013-12-23T02:50:57.000Z"
    }
  ],
  "analyses": {
    "keywords": [
      "non-stationary reflected brownian motion",
      "exact simulation",
      "non-stationary arrival rates",
      "first method",
      "non-stationary drift"
    ],
    "note": {
      "typesetting": "TeX",
      "pages": 0,
      "language": "en",
      "license": "arXiv",
      "status": "editable",
      "adsabs": "2013arXiv1312.6456M"
    }
  }
}