A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes

DOI10.1017/jpr.2024.17MaRDI QIDQ6639524

Takuji Arai, Yuto Imai

Publication date: 15 November 2024

Published in: Journal of Applied Probability (Search for Journal in Brave)

zbMATH Keywords

Ornstein-Uhlenbeck processMonte Carlo simulationinverse Gaussian processtempered stable process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)

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