Rare Event Simulation for Level Crossing and Queueing Models
For every integer n, let Z p,n be a random variable taking values in some complete separable metric space S n . Let P n be the probability measure induced by Z p,n on S n . Instead of directly simulating Z p,n , we choose to simulate with another S n -valued random variable Z q,n which in turn induces a probability measure on S n , Q n . Let f n be an R-valued measurable function on the space S n ; that is f n : S n → R.
KeywordsRandom Walk Service Time Interarrival Time Direct Monte Carlo Simulation Queueing Model
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