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Simulation of Tempered Stable Lévy Bridges and Its Applications - MaRDI portal

Simulation of Tempered Stable Lévy Bridges and Its Applications (Q5740225)

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scientific article; zbMATH DE number 6606042
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English
Simulation of Tempered Stable Lévy Bridges and Its Applications
scientific article; zbMATH DE number 6606042

    Statements

    title
    Simulation of Tempered Stable Lévy Bridges and Its Applications (English)
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    author
    Kyoung-Kuk Kim
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    Sojung Kim
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    publication date
    25 July 2016
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    zbMATH Keywords
    bridge sampling
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    Lévy process
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    simulation
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    saddlepoint approximation
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    tempered stable subordinator
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    cites work
    Q3859099
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    Large portfolio losses
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    Identifiers

    zbMATH DE Number
    6606042
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    OpenAlex ID
    W2341160014
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