Exact simulation of generalised Vervaat perpetuities

DOI10.1017/JPR.2019.6zbMath1418.60040OpenAlexW2913975020MaRDI QIDQ4968511

Jia Wei Lim, Angelos Dassios, Yan Qu

Publication date: 15 July 2019

Published in: Journal of Applied Probability (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/91489/1/Dassios_Exact-simulation-of-generalised.pdf

zbMATH Keywords

exact simulationDickman distributionmarked renewal processtruncated gamma processVervaat perpetuity

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Markov renewal processes, semi-Markov processes (60K15)

Related Items (6)

Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models ⋮ Exact simulation of Poisson-Dirichlet distribution and generalised gamma process ⋮ Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities ⋮ An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case ⋮ Exact simulation of the extrema of stable processes ⋮ An application of risk theory to mortgage lending

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