Simulation of an exponential variable

Suppose an exponential variable —the typical example in textbooks— with pdf

  with   x ≥ 0

By integration, it is:

which is an easily invertible function. Thus, it is, successively,

 

and finally

 (or even )

http://web.tecnico.ulisboa.pt/~mcasquilho/acad/theo/simul/exponential.php Created: 2006-03-16 — Last modified: 2007-01-03