Appendix to "Approximating perpetuities"

Details Appendix to "Approximating perpetuities" Appendix to "Approximating perpetuities"

2012-03-03

arxiv.org/abs/1203.0679v1

Mathematics

Probability

Scientific paper

An algorithm for perfect simulation from the unique solution of the distributional fixed point equation $Y=_d UY + U(1-U)$ is constructed, where $Y$ and $U$ are independent and $U$ is uniformly distributed on $[0,1]$. This distribution comes up as a limit distribution in the probabilistic analysis of the Quickselect algorithm. Our simulation algorithm is based on coupling from the past with a multigamma coupler. It has four lines of code.

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