Efficient simulation of Lévy-driven point processes (Q5203972)
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scientific article; zbMATH DE number 7141463
| Language | Label | Description | Also known as |
|---|---|---|---|
| English | Efficient simulation of Lévy-driven point processes |
scientific article; zbMATH DE number 7141463 |
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Efficient simulation of Lévy-driven point processes (English)
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9 December 2019
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contagion risk
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portfolio risk management
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Monte Carlo simulation
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exact simulation
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exact decomposition
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self-exciting jump process with non-Gaussian Ornstein-Uhlenbeck intensity
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point process
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branching process
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stochastic intensity model
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non-Gaussian Ornstein-Uhlenbeck process
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gamma process
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inverse Gaussian subordinator
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tempered stable subordinator
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