Abstract
To generate a time-homogeneous Poisson process on a fixed and finite interval, we condition on the number N of arrivals in that interval. Given N, it is well known that the arrival epochs are distributed as the order statistics of iid standard uniforms rescaled to that interval. Thus, without loss of generality, we consider in this chapter the problem of generating the order statistics of n iid standard uniforms (applied in a different setting in Chapter 4). If this were not done as part of our hybrid approach to estimating some expectation, then we would use the method of Section 3.4 as a stand-alone.
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© 1999 Springer Science+Business Media New York
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Hillier, F.S., Fox, B.L. (1999). Generating Poisson Processes. In: Strategies for Quasi-Monte Carlo. International Series in Operations Research & Management Science, vol 22. Springer, Boston, MA. https://doi.org/10.1007/978-1-4615-5221-5_3
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DOI: https://doi.org/10.1007/978-1-4615-5221-5_3
Publisher Name: Springer, Boston, MA
Print ISBN: 978-1-4613-7379-7
Online ISBN: 978-1-4615-5221-5
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