Levy Process Simulation by Stochastic Step Functions

DOI10.1137/110851080zbMath1296.60124arXiv1110.2367OpenAlexW2027870341MaRDI QIDQ2870641

Fred Espen Benth, Torquil Macdonald Sørensen

Publication date: 21 January 2014

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1110.2367

zbMATH Keywords

Markov chainsMonte Carlo methodsLévy processCGMYNIGsimulation of probability distributions

Mathematics Subject Classification ID

Computational methods in Markov chains (60J22) Processes with independent increments; Lévy processes (60G51) Time series, auto-correlation, regression, etc. in statistics (GARCH) (62M10) Monte Carlo methods (65C05) Sample path properties (60G17)

Related Items

Monte Carlo Methods for Radiative Transfer with Singular Kernels ⋮ Vector Stochastic Processes with Pólya‐Type Correlation Structure ⋮ Isotropic random fields with infinitely divisible marginal distributions