Statistical simulation of one type of pairs of random variables with the use of fictitious jumps

A. I. Khisamutdinov

Žurnal vyčislitelʹnoj matematiki i matematičeskoj fiziki, Tome 47 (2007) no. 1, pp. 162-173

Résumé

Statistical simulation based on the sampling technique for a pair of random variables $(T,\mathscr U)$, where $T\in[0,+\infty)$ and $\mathscr U\in\mathscr R^d$ ($d\geq1$) is considered. The simultaneous distribution of the pair is specified in the form that is common for analogous problems in various fields. It has the form $$ \mathbf P\{T\in dt,\mathscr U\in du\}=f(t,u)\exp\biggl(-\int_0^t\int_{\mathscr R^d}f(t',u')m(du')dt'\biggr)dt\,m(du), $$ where $f$ is a function and $m$ is a measure. The first variable $T$ is the well-known random waiting time. A simulation method for the pair $(T,\mathscr U)$ is constructed using a realization of an auxiliary Markov sequence of trial pairs. Applications of this method in particle transport theory and in kinetics of rarefied gases are discussed.

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