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; zbMATH DE number 5017183
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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 (5)

• 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
• Widening and clustering techniques allowing the use of monotone CFTP algorithm
• Siegmund duality for Markov chains on partially ordered state spaces

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