Simulating an infinite mean waiting time

07/23/2019

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by   Krzysztof Bartoszek, et al.

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We consider a hybrid method to simulate the return time to the initial state in a critical-case birth--death process. The expected value of this return time is infinite, but its distribution asymptotically follows a power-law. Hence, the simulation approach is to directly simulate the process, unless the simulated time exceeds some threshold and if it does, draw the return time from the tail of the power law.