Exact Sampling of the Infinite Horizon Maximum of a Random Walk Over a Non-linear Boundary (1609.06402v2)

Abstract: We present the first algorithm that samples $\max_{n\geq0}{S_{n}-n^{\alpha}},$ where $S_n$ is a mean zero random walk, and $n^{\alpha}$ with $\alpha\in(1/2,1)$ defines a nonliner boundary. We show that our algorithm has finite expected running time. We also apply the algorithm to construct the first exact simulation method for the steady-state departure process of a $GI/GI/\infty$ queue where the service time distribution has infinite mean.