Monotonicity requirements for efficient exact sampling with Markov chains

zbMATH Open1383.60060MaRDI QIDQ4604155FDOQ4604155

Authors: Paweł Lorek, Piotr Markowski 

Publication date: 23 February 2018

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• scientific article
• scientific article; zbMATH DE number 2163509

zbMATH Keywords

couplingperfect simulationcoupling from the paststochastic monotonicitySiegmund dualitystrong stationary dualitystrong stationary timerealizable monotonicityexact simulationsfailure rate monotonicityFill's rejection algorithmMöbius monotonicity

Mathematics Subject Classification ID

Markov chains (discrete-time Markov processes on discrete state spaces) (60J10) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Stopping times; optimal stopping problems; gambling theory (60G40)

Cited In (4)

• Deciding when to quit the gambler's ruin game with unknown probabilities
• Antiduality and Möbius monotonicity: generalized coupon collector problem
• On the sample monotonization problem
• SIEGMUND DUALITY FOR MARKOV CHAINS ON PARTIALLY ORDERED STATE SPACES

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