Perfect simulation for a class of positive recurrent Markov chains

Details Perfect simulation for a class of positive recurrent Markov chains Perfect simulation for a class of positive recurrent Markov chains

2006-01-09

arxiv.org/abs/math/0601174v3

Annals of Applied Probability 2007, Vol. 17, No. 3, 781-808

Mathematics

Probability

Published at http://dx.doi.org/10.1214/105051607000000032 in the Annals of Applied Probability (http://www.imstat.org/aap/) by

Scientific paper

10.1214/105051607000000032

This paper generalizes the work of Kendall [Electron. Comm. Probab. 9 (2004) 140--151], which showed that perfect simulation, in the form of dominated coupling from the past, is always possible (although not necessarily practical) for geometrically ergodic Markov chains. Here, we consider the more general situation of positive recurrent chains and explore when it is possible to produce such a simulation algorithm for these chains. We introduce a class of chains which we name tame, for which we show that perfect simulation is possible.

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