Simulating perpetuities

DOI10.1023/A:1011470225335MaRDI QIDQ5936989zbMATH OpenFDO

Authors Luc Devroye

Publication date 26 March 2002

Published in Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1023/A:1011470225335

zbMATH Keywords

expected time analysisinfinite divisibilityperpetuitiespseudorandom number generationrejection algorithmsimulation

Mathematics Subject Classification ID

Pseudo-random numbers; Monte Carlo methods (11K45) Random number generation in numerical analysis (65C10)

Review text

Perpetuity is the random variable \(Y=1+W_1+W_1W_2+W_1W_2W_3+\dots\), where \(W_i\) are independent nonnegative identically distributed random variables with the mean value less than one for all \(i\). It occurs in many fields (financial mathematics, hydrology, insurance and Hoare's selection algorithm). The paper presents an algorihm generating (pseudo)random numbers with the distribution of \(Y\). The case when the \(W_i\) have the distribution of \(U**(1/b)\), \(b>0\), where \(U\) is uniformly distributed on the interval \(\langle 0,1\rangle\), is dicussed in details and a new rejection method is presented. The algorithm is based on quite complex theoretical results. The main result states, that the proposed rejection algorithm halts with probability one and for some \(b\) the mean duration of the algorithm to generate a new random number is finite. No results on the experiments with the algorithm are mentioned.

Recommendations

• On exact sampling of stochastic perpetuities
• Approximating perpetuities
• Markov Chain Monte Carlo simulation of the distribution of some perpetuities
• Exact simulation of generalised Vervaat perpetuities
• A note on the approximation of perpetuities

Cited in

(18)

• On the properties of a Takács distribution
• A multiplicative version of the Lindley recursion
• On strong and almost sure local limit theorems for a probabilistic model of the Dickman distribution
• Fast perfect simulation of Vervaat perpetuities
• Simulation of the present value of perpetuity in CIR interest model
• On exact sampling of stochastic perpetuities
• On exact sampling of nonnegative infinitely divisible random variables
• Complexity Questions in Non-Uniform Random Variate Generation
• A note on the approximation of perpetuities
• Appendix to ``Approximating perpetuities
• Approximating perpetuities
• Exact simulation of generalised Vervaat perpetuities
• Exact simulation of the extrema of stable processes
• Perpetuities and asymptotic change-point analysis
• Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities
• On a modified version of the Lindley recursion
• Proof of the perpetuity equation
• Simulating the Dickman distribution

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