New methods of simulating Lévy processes

DOI10.1016/j.physa.2017.01.031zbMath1400.60069OpenAlexW2568018813MaRDI QIDQ1620568

Jing Zheng, Ren-Dao Ye, Zheng Yan Lin, Chang-qing Tong

Publication date: 13 November 2018

Published in: Physica A (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.physa.2017.01.031

zbMATH Keywords

algorithmsimulationLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

• Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
• Importance sampling and statistical Romberg method for Lévy processes
• Approximations of small jumps of Lévy processes with a view towards simulation
• Stochastic Process with Ultraslow Convergence to a Gaussian: The Truncated Lévy Flight
• Financial Modelling with Jump Processes
• Optimal Importance Sampling Parameter Search for Lévy Processes via Stochastic Approximation
• Monte Carlo strategies in scientific computing
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