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 generating exact samples of non-stationary RBM at any time $t$ is uniformly bounded by $\mathcal{O}(1/\bar\gamma^2)$ where...

Point processes with stochastic intensities are ubiquitous in many application areas, including finance, insurance, reliability and queuing. They can be simulated from standard Poisson arrivals by time-scaling with the cumulative intensity, whose path is typically generated with a discretization...

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 generating exact samples of non-stationary RBM at any time t is uniformly bounded. The method can be used as a guide for...

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 such value functions plays an important role in approximate dynamic programming. We incorporate “soft...

Point processes with stochastic arrival intensities are ubiquitous in many areas, including finance, insurance, reliability, health care and queuing. They can be simulated from a Poisson process by time-scaling with the cumulative intensity. The paths of the cumulative intensity are often...

Correlated default risk plays a significant role in financial markets. Dynamic intensity-based models, in which a firm default is governed by a stochastic intensity process, are widely used to model correlated default risk. The computations in these models can be performed by Monte Carlo...

We examine the problem of allocating a resource repeatedly over time amongst a set of agents. The utility that each agent derives from consumption of the item is private information to that agent and, prior to consumption may be unknown to that agent. The problem is motivated by keyword...

Identifying the optimal set of individuals to first receive information (‘seeds') in a social network is a widely-studied question in many settings, such as diffusion of information, spread of microfinance programs, and adoption of new technologies. Numerous studies have proposed various...

We present a model for competition between ride-hailing platforms. Riders choose a platform to maximize their utility which is decreasing in price and waiting time. Drivers can accept ride requests from both platforms. Platforms compete via prices over riders and drivers. We investigate whether...