114 citations · 348 across the 55 of their papers we have counts for
Showing 2013 · math.PRShow all
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math.PR2013
Shape-constrained Estimation of Value Functions
Mohammad Mousavi, Peter W. Glynn
We present a fully nonparametric method to estimate the value function, via simulation, in the context of expected infinite-horizon discounted rewards for Markov chains. Estimating…
math.PR2013
Exact Simulation of Non-stationary Reflected Brownian Motion
Mohammad Mousavi, Peter W. Glynn
This paper develops the first method for the exact simulation of reflected Brownian motion (RBM) with non-stationary drift and infinitesimal variance. The running time of generatin…
math.PR2013
Central Limit Theorems and Large Deviations for Additive Functionals of Reflecting Diffusion Processes
Peter W. Glynn, Rob J. Wang
This paper develops central limit theorems (CLT's) and large deviations results for additive functionals associated with reflecting diffusions in which the functional may include a…