Fast exact simulation of the first-passage event of a subordinator

arXiv2306.06927MaRDI QIDQ6439996

Aleksandar Mijatović, Feng Lin, Jorge Ignacio González Cázares

Publication date: 12 June 2023

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05)

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