On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation

DOI10.1016/j.spa.2015.11.001zbMath1333.60093arXiv1207.2495OpenAlexW1592888491MaRDI QIDQ5965372

Zhiyi Chi

Publication date: 3 March 2016

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1207.2495

zbMATH Keywords

Lévy processesbounded variationsubordinatorDirichlet distributionfirst passage event

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Sampling theory, sample surveys (62D05)

Related Items

Creeping of Lévy processes through curves ⋮ Exact simulation of the extrema of stable processes

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