Importance sampling of heavy-tailed iterated random functions
نویسندگان
چکیده
منابع مشابه
Importance sampling of heavy-tailed iterated random functions
We consider a stochastic recurrence equation of the form Zn+1 = An+1Zn + Bn+1, where E[logA1] < 0, E[log B1] <∞ and {(An, Bn)}n∈N is an i.i.d. sequence of positive random vectors. The stationary distribution of this Markov chain can be represented as the distribution of the random variable Z , ∑∞ n=0 Bn+1 ∏n k=1 Ak. Such random variables can be found in the analysis of probabilistic algorithms ...
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ژورنال
عنوان ژورنال: Advances in Applied Probability
سال: 2018
ISSN: 0001-8678,1475-6064
DOI: 10.1017/apr.2018.37