Multiple use of random numbers in discrete-event simulation

A method is presented for using a single (0, 1) uniform random number to yield stochastically independent random numbers having a given finite distribution. The adaptation of the alias method to the given procedure is outlined. An application to simulate Brownian motion is given.

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Year of publication:	1989
Authors:	Kämpke, Thomas
Published in:	Mathematics and Computers in Simulation (MATCOM). - Elsevier, ISSN 0378-4754. - Vol. 31.1989, 3, p. 171-176
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10011050598