标题： 稳定子ordinator首通量的精确抽样的复杂性 显示英文标题

标题： Complexity of exact sampling of the first passage of a stable subordinator

摘要： 我们研究了稳定子ordinator首次穿过非增正则障碍的精确抽样。 首先，抽样被简化为从一个双变量分布中抽取样本，该分布由子ordinator的指数$\alpha$和与障碍无关的一个标量$z$参数化。 然后，针对$(\alpha, z)$的不同区域设计了三种算法，这些算法使用接受-拒绝方法且无需数值反演或积分。 当结合使用时，这些算法允许以复杂度$O(1+|\ln(1-\alpha)|)$进行首次穿越的精确抽样。 显示英文摘要

摘要： We consider the exact sampling of the first passage of a stable subordinator across a non-increasing regular barrier. First, the sampling is reduced to one from a bivariate distribution parameterized by the index $\alpha$ of the subordinator and a scalar $z$ independent of the barrier. Then three algorithms are devised for different regions of $(\alpha, z)$, using the acceptance-rejection method without numerical inversion or integration. When combined, the algorithms allow the exact sampling of the first passage to be done with complexity $O(1+|\ln(1-\alpha)|)$.