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On simulation of random vectors by given densities in regions and on their boundaries

Part of: Probabilistic methods, simulation and stochastic differential equations Special processes

Published online by Cambridge University Press:  14 July 2016

K. A. Borovkov
K. A. Borovkov*
Affiliation:
Steklov Mathematical Institute
*
∗ Postal address: Steklov Mathematical Institute, Vavilov st. 42, 117966 Moscow GSP-1, Russia.
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Abstract

We suggest a new universal method of stochastic simulation, allowing us to generate rather efficiently random vectors with arbitrary densities in a connected open region or on its boundary. Our method belongs to the class of dynamic Monte Carlo procedures and is based on a special construction of a Markov chain on the boundary of the region. Its remarkable feature is that this chain admits a simple simulation, based on a universal (depending only on the dimensionality of the space) stochastic driver.

Keywords

MONTE CARLO SIMULATIONMARKOV CHAINSEMI-MARKOV PROCESS

MSC classification

Primary: 65C05: Monte Carlo methods
Secondary: 60K20: Applications of Markov renewal processes (reliability, queueing networks, etc.)
Type
Research Papers
Information
Journal of Applied Probability , Volume 31 , Issue 1 , March 1994 , pp. 205 - 220
Copyright
Copyright © Applied Probability Trust 1994 

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Footnotes

This work was done while the author was visiting the Carl von Ossietzky Universität Oldenburg. Research supported by the Alexander von Humboldt-Stiftung.

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