The double CFTP method

DOI10.1145/1899396.1899398zbMATH Open1386.65048OpenAlexW2164907674MaRDI QIDQ4635169FDOQ4635169

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

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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

Cited In (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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