On Building Random Variables of a Given Distribution
Letac, Gerard
Ann. Probab., Tome 3 (1975) no. 6, p. 298-306 / Harvested from Project Euclid
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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/