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Exact simulation of tempered stable Ornstein–Uhlenbeck processes - MaRDI portal

Exact simulation of tempered stable Ornstein–Uhlenbeck processes (Q5300752)

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scientific article; zbMATH DE number 6182253
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English
Exact simulation of tempered stable Ornstein–Uhlenbeck processes
scientific article; zbMATH DE number 6182253

    Statements

    title
    Exact simulation of tempered stable Ornstein–Uhlenbeck processes (English)
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    author
    Shibin Zhang
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    publication date
    28 June 2013
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    zbMATH Keywords
    self-decomposability
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    tempered stable
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    Ornstein-Uhlenbeck
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    random sample generation
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    rejection method
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    Identifiers

    Mathematics Subject Classification ID
    65C10
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    60E07
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    62E15
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    zbMATH DE Number
    6182253
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    OpenAlex ID
    W2139935700
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