Exact simulation of the extrema of stable processes

DOI10.1017/apr.2019.39OpenAlexW2805652202WikidataQ126788388 ScholiaQ126788388MaRDI QIDQ5203973

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Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1806.01870

zbMATH Keywords

simulationperpetuitiesstable processperfect simulationrandom variate generationdominated coupling from the past

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Related Items (7)

Optimal estimation of the supremum and occupation times of a self-similar Lévy process ⋮ Geometrically Convergent Simulation of the Extrema of Lévy Processes ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid ⋮ \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders ⋮ Dini derivatives and regularity for exchangeable increment processes ⋮ SupStable.jl

Uses Software

• GitHub

Cites Work

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