Point process simulation of generalised hyperbolic Lévy processes

DOI10.1007/s11222-023-10344-xzbMath1529.62021arXiv2303.10292MaRDI QIDQ6190653

Yaman Kındap, Simon J. Godsill

Publication date: 6 February 2024

Published in: Statistics and Computing (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/2303.10292

zbMATH Keywords

series representationsstochastic differential equationsMonte Carlo methodsLévy processgeneralised inverse Gaussian process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Computational methods for problems pertaining to statistics (62-08) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)

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