Simulation of Tempered Stable Lévy Bridges and Its Applications
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Publication:5740225
DOI10.1287/opre.2016.1477zbMath1347.60055OpenAlexW2341160014MaRDI QIDQ5740225
Publication date: 25 July 2016
Published in: Operations Research (Search for Journal in Brave)
Full work available at URL: https://semanticscholar.org/paper/aa45052af6188810d5a0a39ce7de4883844507cc
Processes with independent increments; Lévy processes (60G51) Probabilistic models, generic numerical methods in probability and statistics (65C20)
Related Items (3)
Approximation and simulation of infinite-dimensional Lévy processes ⋮ A Monte Carlo algorithm for the extrema of tempered stable processes ⋮ Estimating stable latent factor models by indirect inference
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