Geometrically Convergent Simulation of the Extrema of Lévy Processes
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Publication:5085135
DOI10.1287/moor.2021.1163zbMath1495.60037arXiv1810.11039OpenAlexW3215219396MaRDI QIDQ5085135
Gerónimo Uribe Bravo, Aleksandar Mijatović, Jorge Ignacio González Cázares
Publication date: 27 June 2022
Published in: Mathematics of Operations Research (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1810.11039
Related Items (5)
Markovian structure in the concave majorant of Brownian motion ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ How smooth can the convex hull of a Lévy path be? ⋮ Asymptotic shape of the concave majorant of a Lévy process ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes
Uses Software
Cites Work
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