𝔖 Bobbio Scriptorium
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Simulating Perpetuities

✍ Scribed by Luc Devroye


Book ID
110302831
Publisher
Springer US
Year
2001
Tongue
English
Weight
143 KB
Volume
3
Category
Article
ISSN
1387-5841

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The distribution of stochastically discounted sums (perpetuities) is studied. For Bernoulli-type variables a canonical representation of this distribution is obtained, and it is proven to be singular continuous. In the asymptotic setting of the change-point estimation problem the limiting behavior o