Appendix to "Approximating perpetuities"

preprint2012arXivOpen access

Abstract

An algorithm for perfect simulation from the unique solution of the distributional fixed point equation Y=dUY+U(1−U)Y=_d UY + U(1-U) is constructed, where YY and UU are independent and UU is uniformly distributed on [0,1][0,1]. This distribution comes up as a limit distribution in the probabilistic analysis of the Quickselect algorithm. Our simulation algorithm is based on coupling from the past with a multigamma coupler. It has four lines of code.

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