Crossref Citations
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Blanchet, Jose
Chen, Lin
and
Dong, Jing
2022.
Advances in Modeling and Simulation.
p.
41.
Published online by Cambridge University Press: 12 July 2019
We present the first algorithm that samples maxn≥0{Sn − nα}, where Sn is a mean zero random walk, and nα with $\alpha \in ({1 \over 2},1)$ defines a nonlinear boundary. We show that our algorithm has finite expected running time. We also apply this algorithm to construct the first exact simulation method for the steady-state departure process of a GI/GI/∞ queue where the service time distribution has infinite mean.