Exact simulation of a truncated Lévy subordinator
DOI10.1145/3368088zbMATH Open1544.6001MaRDI QIDQ6600100
Angelos Dassios, Yan Qu, Jia Wei Lim
Publication date: 8 September 2024
Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)
Monte Carlo simulationstable processexact simulationtruncated stable processLévy-driven Ornstein-Uhlenbeck processBrownian motion subordinationmarked renewal representationtruncated tempered stable processtwo-sided truncated Lévy process
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Computational methods for problems pertaining to probability theory (60-08)
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