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A Note on the Approximation of Perpetuities

We propose and analyze an algorithm to approximate distribution functions and densities of perpetuities. Our algorithm refines an earlier approach based on iterating discretized versions of the fixed point equation that defines the perpetuity. We significantly reduce the complexity of the earlier al...

Ausführliche Beschreibung

Gespeichert in:
Hauptverfasser: Margarete Knape, Ralph Neininger
Format: Artigo
Sprache:Inglês
Veröffentlicht: Discrete Mathematics & Theoretical Computer Science 2007-01-01
Schriftenreihe:Discrete Mathematics & Theoretical Computer Science
Schlagworte:
perpetuity
distribution function
density
[info.info-ds] computer science [cs]/data structures and algorithms [cs.ds]
[info.info-dm] computer science [cs]/discrete mathematics [cs.dm]
[math.math-co] mathematics [math]/combinatorics [math.co]
[info.info-cg] computer science [cs]/computational geometry [cs.cg]
Online-Zugang:https://dmtcs.episciences.org/3544/pdf
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