\(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders

DOI10.1214/20-EJP503zbMath1459.60083arXiv1910.13273OpenAlexW2982336089MaRDI QIDQ2201511

Aleksandar Mijatović, Jorge I. González Cázares, Gerónimo Uribe Bravo

Publication date: 29 September 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1910.13273

zbMATH Keywords

simulationstable processconvex minorantstable meanders

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Sample path properties (60G17)

Related Items (3)

Unbiased simulation of rare events in continuous time ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Discretization of the Lamperti representation of a positive self-similar Markov process

Uses Software

• GitHub
• SupStable.jl

Cites Work

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