Transition law-based simulation of generalized inverse Gaussian Ornstein-Uhlenbeck processes

DOI10.1007/s11009-010-9179-6zbMath1232.65011OpenAlexW1982258992MaRDI QIDQ655929

Shibin Zhang

Publication date: 26 January 2012

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-010-9179-6

zbMATH Keywords

estimationPoisson distributionstochastic integralself-decomposabilityOrnstein-Uhlenbeckgeneralized inverse Gaussianrandom sample generation

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical computation of solutions to single equations (65H05) Random number generation in numerical analysis (65C10)

Related Items (6)

Calibration for multivariate Lévy-driven Ornstein-Uhlenbeck processes with applications to weak subordination ⋮ Test for autocorrelation change in discretely observed Ornstein-Uhlenbeck processes driven by Lévy processes ⋮ Modeling mortality and pricing life annuities with Lévy processes ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ Estimation of Parameters of the Ornstein-Uhlenbeck Type Processes with Continuum of Moment Conditions ⋮ Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral

Uses Software

• R
• QUADPACK

Cites Work

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