{"61043":{"#nid":"61043","#data":{"type":"event","title":"Perfect Sampling of Stochastic Perpetuities","body":[{"value":"\u003Cp\u003E\u003Cstrong\u003ETITLE: \u003C\/strong\u003EPerfect Sampling of Stochastic Perpetuities\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003ESPEAKER:\u0026nbsp; \u003C\/strong\u003EJose Blanchet\u003C\/p\u003E\u003Cp\u003E\u003Cstrong\u003EABSTRACT:\u003C\/strong\u003E\u003C\/p\u003E\u003Cp\u003EA stochastic perpetuity is the net present value, with i.i.d. random \ndiscount factors, of an infinite stream of i.i.d. rewards in time. Under \nreasonable assumptions on the rewards and discounts we describe how to \ngenerate exact (unbiased) samples of stochastic perpetuities. The \nalgorithm is based on a variation of dominated coupling from the past. \nThe dominating process involves exact sampling of the delay sequence of \na single server queue starting from the distant past. (This is joint \nwork with K. Sigman.)\u003C\/p\u003E","summary":null,"format":"limited_html"}],"field_subtitle":"","field_summary":"","field_summary_sentence":[{"value":"Perfect Sampling of Stochastic Perpetuities"}],"uid":"27187","created_gmt":"2010-09-20 08:19:16","changed_gmt":"2016-10-08 01:52:22","author":"Anita Race","boilerplate_text":"","field_publication":"","field_article_url":"","field_event_time":{"event_time_start":"2010-09-23T12:00:00-04:00","event_time_end":"2010-09-23T13:00:00-04:00","event_time_end_last":"2010-09-23T13:00:00-04:00","gmt_time_start":"2010-09-23 16:00:00","gmt_time_end":"2010-09-23 17:00:00","gmt_time_end_last":"2010-09-23 17:00:00","rrule":null,"timezone":"America\/New_York"},"extras":[],"groups":[{"id":"1242","name":"School of Industrial and Systems Engineering (ISYE)"}],"categories":[],"keywords":[],"core_research_areas":[],"news_room_topics":[],"event_categories":[],"invited_audience":[],"affiliations":[],"classification":[],"areas_of_expertise":[],"news_and_recent_appearances":[],"phone":[],"contact":[],"email":[],"slides":[],"orientation":[],"userdata":""}}}