2 papers
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…