Abstract
Chapter 10 focuses on simulating Lévy-driven queues. Algorithms are presented on how to (efficiently and accurately) simulate various important classes of Lévy processes and their associated workload processes. In addition, we point out how importance-sampling-based simulation is of great help when estimating rare-event probabilities (and small covariances, associated to the workload at time 0 and t, for t large).
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Dębicki, K., Mandjes, M. (2015). Simulation of Lévy-Driven Queues. In: Queues and Lévy Fluctuation Theory. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-20693-6_10
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DOI: https://doi.org/10.1007/978-3-319-20693-6_10
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-20692-9
Online ISBN: 978-3-319-20693-6
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