Monotonicity requirements for efficient exact sampling with Markov chains

MaRDI QIDQ4604155zbMATH OpenFDO

Authors Paweł Lorek, Piotr Markowski

Publication date 23 February 2018

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)

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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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