We introduce the first class of perfect sampling algorithms for the steady-state distribution of
multi-server queues with general interarrival time and service time distributions. Our …

This paper contrasts exact simulation against exact estimation in two different computational
settings, namely that of numerical solution of stochastic differential equations and also in the …

In this paper, we introduce a slight variation of the dominated-coupling-from-the-past
(DCFTP) algorithm of Kendall, for bounded Markov chains. It is based on the control of a …

We consider the random field M (t)= sup _ n\geq1 {-\log A_ n+ X_ n (t)\},\qquad t ∈ T, for a
set T⊂R^m, where (X_n) is an iid sequence of centered Gaussian random fields on T and …

We consider the random field M (t)=\sup_ {n\geq 1}\big\{-\log A_ {n}+ X_ {n}(t)\big\}\,,\qquad
t\in T\, for a set $ T\subset\mathbb {R}^{m} $, where $(X_ {n}) $ is an iid sequence of …

In this paper we describe a perfect simulation algorithm for the stable M/G/c queue. Sigman
(2011) showed how to build a dominated coupling-from-the-past algorithm for perfect …

Consider a fractional Brownian motion (fBM) BH={BH (t): t∈[0, 1]} with Hurst index H∈(0, 1).
We construct a probability space supporting both BH and a fully simulatable process B^∈ H …

Using a result of Blanchet and Wallwater (2015) for exactly simulating the maximum of a
negative drift random walk queue endowed with independent and identically distributed (iid) …

In this paper we present algorithms for the perfect sampling of single-server time-varying
queues with periodic Poisson arrivals under the first come first served (FCFS) discipline. The …

We present the explicit construction of a stable queue with several servers and impatient
customers, under stationary ergodic assumptions. Using a stochastic comparison of the …