SPEAKER:  Jose Blanchet

ABSTRACT:

A stochastic perpetuity is the net present value, with i.i.d. random discount factors, of an infinite stream of i.i.d. rewards in time. Under reasonable assumptions on the rewards and discounts we describe how to generate exact (unbiased) samples of stochastic perpetuities. The algorithm is based on a variation of dominated coupling from the past. The dominating process involves exact sampling of the delay sequence of a single server queue starting from the distant past. (This is joint work with K. Sigman.)