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Discretization Error in Simulation of One-dimensional Reflecting Brownian Motion
Discretization Error Simulation One-dimensional Reflecting Brownian Motion
2015/7/8
This paper is concerned with various aspects of the simulation of one-dimensional reflected (or regulated) Brownian motion. The main result shows that the discretization error associated with the Eule...
On Convergence to Stationarity of Fractional Brownian Storage
Convergence to stationarity fractional Brownian motion storage process large deviations.
2015/7/6
With M(t):= sup0≤s≤t A(s)−s denoting the running maximum of a fractional Brownian motion A(·) with negative drift, this paper studies the rate of convergence of P(M(t)>x) to P(M>x). We define tw...
Conditional Limit Theorems for Regulated Fractional Brownian Motion
Queues fractional Brownian motion conditional limit laws large buffer asymptotic
2015/7/6
We consider a stationary fluid queue with fractional Brownian motion input. Conditional on the workload at time zero being greater than a large value b, we provide the limiting distribution for the am...