The double CFTP method

DOI10.1145/1899396.1899398MaRDI QIDQ4635169zbMATH OpenOpenAlexFDO

Authors Luc Devroye, Lancelot F. James

Publication date 16 April 2018

Published in ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1145/1899396.1899398

zbMATH Keywords

simulationdistribution theoryMonte Carlo methodsMarkov chainsexpected time analysisrandom variate generationrandom partitionscoupling from the pastperpetuitiesstochastic fixed point equationsBessel bridgeDirichlet meansstochastic recurrencesPoisson-Dirichlet means

Mathematics Subject Classification ID

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(7)

• On simulation and properties of the stable law
• Discussion of ``On simulation and properties of the stable law by L. Devroye and L. James
• Stochastic Volatility Models Based on OU-Gamma Time Change: Theory and Estimation
• Exact simulation of the extrema of stable processes
• Quantile clocks
• Appendix to ``Approximating perpetuities
• Double successive partial triadic analysis DO-sPTA method

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