Numerical aspects of shot noise representation of infinitely divisible laws and related processes
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Publication:1980850
DOI10.1214/20-PS359zbMath1469.60063arXiv2101.10533MaRDI QIDQ1980850
Publication date: 8 September 2021
Published in: Probability Surveys (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/2101.10533
Lévy processesMonte Carlo methodsinfinitely divisible processesinfinitely divisible lawsshot noise representation
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
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