Simulating Perpetuities
β Scribed by Luc Devroye
- Book ID
- 110302831
- Publisher
- Springer US
- Year
- 2001
- Tongue
- English
- Weight
- 143 KB
- Volume
- 3
- Category
- Article
- ISSN
- 1387-5841
No coin nor oath required. For personal study only.
π SIMILAR VOLUMES
For a distribution + on the unit interval we define the associated perpetuity 9( +) a sequence of independent random variables with distribution +. Such quantities arise in insurance mathematics and in many other areas. We prove the differentiability of the perpetuity functional 9 with respect to i
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