Abstract
Suppose that Χ φ (Χn: η 0) is a positive recurrent Harris chain. We investigate the connection between various types of drift and minoriza# tion conditions on Χ and exact simulation. We present an exact simula# tion algorithm that can be implemented if three elements are available: 1) We can identify the regeneration epochs of Χ, 2) We can find a pos# itive lower bound for the probability of regeneration in one step, and 3) We can find an upper bound for moments of order larger than 1 for the regeneration time of Χ. We also discuss explicit minorization and drift conditions that provide the bounds required in item 3).
Authors
J Blanchet, X Meng
Publication date
2005/6
Publisher
Technical report, Columbia University. Available at: http://www. columbia. edu/~ jb2814/papers/JSMsent. pdf
