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Fast Perfect Simulation of Vervaat Perpetutities
This work presents a faster method of simulating exactly from a distribution
known as a Vervaat perpetuity. A parameter of the Vervaat perpetuity is . An earlier method for simulating from this distributon ran in
time This earlier method utilized dominated coupling
from the past that bounded a stochastic process for perpetuities from above. By
extending to non-Markovian update functions, it is possible to create a new
method that bounds the perpetuities from both above and below. This new
approach is shown to run in time.Comment: 14 pages, 1 figur