Simulating perpetuities

DOI10.1023/A:1011470225335zbMath0982.65005MaRDI QIDQ5936989

Luc P. Devroye

Publication date: 26 March 2002

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

zbMATH Keywords

simulationexpected time analysisinfinite divisibilityperpetuitiespseudorandom number generationrejection algorithm

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Pseudo-random numbers; Monte Carlo methods (11K45)

Related Items (14)

On Exact Sampling of Nonnegative Infinitely Divisible Random Variables ⋮ Simulating the Dickman distribution ⋮ Exact simulation of generalised Vervaat perpetuities ⋮ Fast perfect simulation of Vervaat perpetuities ⋮ Appendix to ``Approximating perpetuities ⋮ Approximating perpetuities ⋮ Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities ⋮ On a modified version of the Lindley recursion ⋮ On the properties of a Takács distribution ⋮ Complexity Questions in Non-Uniform Random Variate Generation ⋮ On strong and almost sure local limit theorems for a probabilistic model of the Dickman distribution ⋮ Perpetuities and asymptotic change-point analysis ⋮ Exact simulation of the extrema of stable processes ⋮ A multiplicative version of the Lindley recursion

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