Margarete Knape

most citedAppendix to "Approximating perpetuities"

4 citations · 4 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2012★ 4 cited

Appendix to "Approximating perpetuities"

Margarete Knape, Ralph Neininger

An algorithm for perfect simulation from the unique solution of the distributional fixed point equation $Y =_{d} U Y + U (1 - U)$ is constructed, where $Y$ and $U$ are independent and $U$ …

math.PR2007

Approximating Perpetuities

Margarete Knape, Ralph Neininger

We propose and analyze an algorithm to approximate distribution functions and densities of perpetuities. Our algorithm refines an earlier approach based on iterating discretized ve…