Random difference equations: an asymptotical result

  • Authors:

  • J. F. Chamayou;J. L. Dunau

  • Affiliations:

  • Laboratoire de statistique et probabilités, Université Paul Sabatier, 118 rte de Narbonne, Toulouse, F-31062 Cedex, France;Institut National des Sciences Appliquées, Toulouse, Cedex, France

  • Venue:
  • Journal of Computational and Applied Mathematics
  • Year:
  • 2003

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Abstract

We give a description of the model Un = Xn(1 + Un-1) for n 1 in the case where the Xi are i.i.d random variables with density αxα-1 on [0,1], (α 0). We use it to generate recursively Dickman pseudorandom numbers (α = 1) and to simulate shot noise.