scientific article
From MaRDI portal
Publication:2738738
zbMath0985.60048MaRDI QIDQ2738738
Publication date: 12 September 2001
Title: zbMATH Open Web Interface contents unavailable due to conflicting licenses.
Processes with independent increments; Lévy processes (60G51) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55)
Related Items (89)
The suprema of infinitely divisible processes ⋮ Change-level detection for Lévy subordinators ⋮ Importance sampling and statistical Romberg method for Lévy processes ⋮ Restricted Indian buffet processes ⋮ New methods of simulating Lévy processes ⋮ Representations and isomorphism identities for infinitely divisible processes ⋮ Estimation of continuous-time stochastic volatility models with jumps using high-frequency data ⋮ On infinitely divisible semimartingales ⋮ Integrating Volatility Clustering Into Exponential Lévy Models ⋮ On convergence of empirical point processes ⋮ On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ Moment convergence of first-passage times in renewal theory ⋮ Asymptotic bounds for infinitely divisible sequences ⋮ Fractional Lévy processes with an application to long memory moving average processes ⋮ Hölder regularity for operator scaling stable random fields ⋮ Karhunen–Loève expansions of Lévy processes ⋮ A density function connected with a non-negative self-decomposable random variable ⋮ One-dimensional distributions of subordinators with upper truncated Lévy measure, and applications ⋮ Estimation of model parameters of dependent processes constructed using Lévy Copulas ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Self-standardized central limit theorems for trimmed Lévy processes ⋮ Jump-adapted discretization schemes for Lévy-driven SDEs ⋮ Modeling and simulation with operator scaling ⋮ Tempering stable processes ⋮ Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation ⋮ Stochastic integral and series representations for strictly stable distributions ⋮ A unified construction for series representations and finite approximations of completely random measures ⋮ Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models ⋮ A note on central limit theorems for trimmed subordinated subordinators ⋮ Approximation of Bayesian models for time-to-event data ⋮ Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities ⋮ Point process simulation of generalised hyperbolic Lévy processes ⋮ An optimization approach to weak approximation of stochastic differential equations with jumps ⋮ On a rapid simulation of the Dirichlet process ⋮ On the uniform convergence of random series in Skorohod space and representations of càdlàg infinitely divisible processes ⋮ Limiting distributions of generalised Poisson-Dirichlet distributions based on negative binomial processes ⋮ Efficiently sampling nested Archimedean copulas ⋮ Bayesian inference with stochastic volatility models using continuous superpositions of non-Gaussian Ornstein-Uhlenbeck processes ⋮ On the convergence of LePage series in Skorokhod space ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Simulation of Student-Lévy processes using series representations ⋮ A bivariate Lévy process with negative binomial and gamma marginals ⋮ INFORMATION FLOW DEPENDENCE IN FINANCIAL MARKETS ⋮ Monte Carlo option pricing for tempered stable (CGMY) processes ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Truncated random measures ⋮ Generalized moment estimators for \(\alpha\)-stable Ornstein-Uhlenbeck motions from discrete observations ⋮ A general framework for simulation of fractional fields ⋮ A Weak Approximation of Stochastic Differential Equations with Jumps Through Tempered Polynomial Optimization ⋮ Modelling tail risk with tempered stable distributions: an overview ⋮ Some recent developments in stochastic volatility modelling ⋮ A general approach to sample path generation of infinitely divisible processes via shot noise representation ⋮ A moment-matching Ferguson \& Klass algorithm ⋮ Series representations for multivariate time-changed Lévy models ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ Approximate simulation techniques and distribution of an extended gamma process ⋮ Extreme value theory for space-time processes with heavy-tailed distributions ⋮ Tail behavior of random products and stochastic exponentials ⋮ Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution ⋮ On simulation of tempered stable random variates ⋮ Convex hulls of regularly varying processes ⋮ Numerical methods for Lévy processes ⋮ Compound vectors of subordinators and their associated positive Lévy copulas ⋮ On fractional tempered stable motion ⋮ Distributional representations and dominance of a Lévy process over its maximal jump processes ⋮ Stochastic volatility modelling in continuous time with general marginal distributions: inference, prediction and model selection ⋮ Efficient simulation of Lévy-driven point processes ⋮ Bayesian estimation of stochastic volatility models based on OU processes with marginal gamma law ⋮ Power variations for fractional type infinitely divisible random fields ⋮ Bayesian nonparametric analysis of multivariate time series: a matrix gamma process approach ⋮ A local stable bootstrap for power variations of pure-jump semimartingales and activity index estimation ⋮ Simulations for Karlin random fields ⋮ Simulation of a Local Time Fractional Stable Motion ⋮ First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes ⋮ Analysis of filtering and smoothing algorithms for Lévy-driven stochastic volatility models ⋮ Series representation and simulation of multifractional Lévy motions ⋮ Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral ⋮ Series Representation of Time-Stable Stochastic Processes ⋮ Truncated simulation and inference in edge-exchangeable networks ⋮ Two part envelopes for rejection sampling of some completely random measures ⋮ Shot noise, weak convergence and diffusion approximations ⋮ Exact simulation of Ornstein–Uhlenbeck tempered stable processes ⋮ Adaptive Wick--Malliavin Approximation to Nonlinear SPDEs with Discrete Random Variables ⋮ Improved convergence rate for the simulation of stochastic differential equations driven by subordinated Lévy processes. ⋮ Numerical Methods for SPDEs with Tempered Stable Processes ⋮ The asymptotic distribution of self-normalized triangular arrays ⋮ Construction and sampling of Archimedean and nested Archimedean Lévy copulas ⋮ Discussion of `On simulation and properties of the stable law' by Devroye and James ⋮ Multilevel Monte Carlo for Lévy-driven SDEs: central limit theorems for adaptive Euler schemes
This page was built for publication: