On the simulation of general tempered stable Ornstein–Uhlenbeck processes
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Publication:5107760
DOI10.1080/00949655.2020.1714621OpenAlexW3105282472WikidataQ126294927 ScholiaQ126294927MaRDI QIDQ5107760
Publication date: 28 April 2020
Published in: Journal of Statistical Computation and Simulation (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1904.06791
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Related Items (9)
Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ Discrete tempered stable distributions ⋮ An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case ⋮ On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes ⋮ Estimation and simulation for multivariate tempered stable distributions ⋮ Exact simulation of normal tempered stable processes of OU type with applications ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes ⋮ Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
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