On Building Random Variables of a Given Distribution

Letac, Gerard

Letac, Gerard

Ann. Probab., Tome 3 (1975) no. 6, p. 298-306 / Harvested from Project Euclid

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Résumé

Given

$(X_t)_{t\geqq1}$ , independent random variables on some measurable space

$(I, \mathscr{B})$ with the same distribution

$m$ , and a positive function

$f$ of

$L^1(m)$ with

$\|f\|_1 = 1$ , this paper studies how to build a stopping time

$T$ with respect to the

$\sigma$ -fields

$\mathscr{F}_t$ generated

$X_1, X_2, \cdots, X_t$ , such that the distribution of

$X_T$ in

$(I, \mathscr{B})$ is exactly

$f dm$ .

Publié le : 1975-04-14
Classification: Monte-Carlo methods, stopping times, 62E25, 60G40, 28A20, 28A35

@article{1176996400,
     author = {Letac, Gerard},
     title = {On Building Random Variables of a Given Distribution},
     journal = {Ann. Probab.},
     volume = {3},
     number = {6},
     year = {1975},
     pages = { 298-306},
     language = {en},
     url = {http://dml.mathdoc.fr/item/1176996400}
}

Letac, Gerard. On Building Random Variables of a Given Distribution. Ann. Probab., Tome 3 (1975) no. 6, pp.  298-306. http://gdmltest.u-ga.fr/item/1176996400/