Approximating perpetuities

DOI10.1007/S11009-007-9059-XzbMATH Open1293.60028arXiv0711.1099OpenAlexW3037746595MaRDI QIDQ398787FDOQ398787

Authors: Margarete Knape, Ralph Neininger 

Publication date: 15 August 2014

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

Abstract: We propose and analyze an algorithm to approximate distribution functions and densities of perpetuities. Our algorithm refines an earlier approach based on iterating discretized versions of the fixed point equation that defines the perpetuity. We significantly reduce the complexity of the earlier algorithm. Also one particular perpetuity arising in the analysis of the selection algorithm Quickselect is studied in more detail. Our approach works well for distribution functions. For densities we have weaker error bounds although computer experiments indicate that densities can also be approximated well.

Full work available at URL: https://arxiv.org/abs/0711.1099

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zbMATH Keywords

perfect simulationperpetuityapproximation of probability densitiestheory of distributions

Mathematics Subject Classification ID

Random number generation in numerical analysis (65C10) Distribution theory (60E99)

Cites Work

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Cited In (10)

• Central limit theorem for kernel estimator of invariant density in bifurcating Markov chains models
• Perpetuities with thin tails revisited
• Approximations for the distribution of perpetuities with small discount rates
• Distributional analysis of swaps in quick select
• A note on the approximation of perpetuities
• Analysis of swaps in radix selection
• Selfdecomposability perpetuity laws and stopping times
• Appendix to ``Approximating perpetuities
• Simulating perpetuities
• Perfect simulation of Vervaat perpetuities

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