An Iterative Monte Carlo Scheme for Generating Lie Group-Valued Random Variables
- 1 September 1994
- journal article
- Published by Cambridge University Press (CUP) in Advances in Applied Probability
- Vol. 26 (3) , 616-628
- https://doi.org/10.2307/1427811
Abstract
In this paper a simple approximation scheme is proposed for the problem of generating and computing expectations of functionals of a wide class of random variables with values in a compact Lie group. The algorithm is suggested by the time-discretization of an ergodic diffusion leaving invariant the distribution of interest. It is shown to converge as the discretization step goes to zero with the iterations in a natural way.Keywords
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