Solution

ID: past-exam-of-the-probability-statistics-and-options-ii-course-of-the-university-of-oxford/2009/s/s2/a/solution

Let and , both finite and positive as required for normalization. A sufficient envelope condition is with finite . Use independent proposals and independent uniforms on each trial. This guarantees an acceptance probability in for every state. Choose the smallest certified upper bound on that ratio, since increasing decreases the overall acceptance rate. The ratio must be bounded for this particular proposal to admit such an envelope.

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