On Error Rates in Normal Approximations and Simulation Schemes for Lévy Processes

DOI10.1081/STM-120023562zbMath1034.60053MaRDI QIDQ4424866

Mikael Signahl

Publication date: 7 September 2003

Published in: Stochastic Models (Search for Journal in Brave)

zbMATH Keywords

infinitely divisible distributionsnormal approximationEdgeworth expansionweak error rates

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items (6)

Nonnormal Small Jump Approximation of Infinitely Divisible Distributions ⋮ Error Bounds for Small Jumps of Lévy Processes ⋮ Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution ⋮ On simulation of tempered stable random variates ⋮ First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes ⋮ SHORT-TIME IMPLIED VOLATILITY IN EXPONENTIAL LÉVY MODELS

Cites Work

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• Processes of normal inverse Gaussian type
• Approximations of small jumps of Lévy processes with a view towards simulation
• On simulation from infinitely divisible distributions
• Normal and poisson approximation of infinitely divisible distribution functions
• The normal inverse gaussian lévy process: simulation and approximation

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