Simulation of Student-Lévy processes using series representations

DOI10.1007/s00180-018-0814-yzbMath1417.60036OpenAlexW2804794450MaRDI QIDQ1729303

Till Massing

Publication date: 27 February 2019

Published in: Computational Statistics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s00180-018-0814-y

zbMATH Keywords

numerical inversionLévy processsimulation studyStudent \(t\) distributionpure jump processsample path simulation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Random number generation in numerical analysis (65C10)

Related Items (2)

Local asymptotic normality for Student-Lévy processes under high-frequency sampling ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes

Cites Work

• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
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• The student t-distribution of any degree of freedom is infinitely divisible
• Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions
• A Note on the Optimal Addition of Abscissas to Quadrature Formulas of Gauss and Lobatto Type
• Random variate generation by numerical inversion when only the density is known
• Theory of Financial Risk and Derivative Pricing
• Sharp Inequalities for Polygamma Functions
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• A Representation of Independent Increment Processes without Gaussian Components
• Student processes
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