Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes
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Cites work
- A Method for Simulating Stable Random Variables
- Computer Generation of Poisson Deviates from Modified Normal Distributions
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
- Exact simulation of IG-OU processes
- Generalized Gamma measures and shot-noise Cox processes
- Generating Random Variates Using Transformations with Multiple Roots
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
- Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics. (With discussion)
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Normal Variance-Mean Mixtures and z Distributions
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- On simulation of tempered stable random variates
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Random variate generation for exponentially and polynomially tilted stable distributions
- Stable densities under change of scale and total variation inequalities
- Tempering stable processes
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
Cited in
(27)- Exact simulation of the Ornstein-Uhlenbeck driven stochastic volatility model
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- On the transition laws of \(p\)-tempered \(\alpha \)-stable OU-processes
- Exact simulation of normal tempered stable processes of OU type with applications
- Fast simulation of tempered stable Ornstein-Uhlenbeck processes
- Efficient simulation of \(p\)-tempered \(\alpha\)-stable OU processes
- On generating fully discrete samples of the stochastic heat equation on an interval
- Modelling tail risk with tempered stable distributions: an overview
- Numerical inverse Lévy measure method for infinite shot noise series representation
- Discussion of `On simulation and properties of the stable law' by Devroye and James
- Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling
- On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
- Measuring impact of random jumps without sample path generation
- Cusping, transport and variance of solutions to generalized Fokker–Planck equations
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Asymptotic degeneracy and subdiffusivity
- Gamma-related Ornstein–Uhlenbeck processes and their simulation*
- On the simulation of general tempered stable Ornstein–Uhlenbeck processes
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
- Exact simulation of tempered stable Ornstein--Uhlenbeck processes
- Solving multidimensional fractional Fokker-Planck equations via unbiased density formulas for anomalous diffusion processes
- Discrete Sampling of Functionals of Ito Processes
- On simulation of tempered stable random variates
- A remark on exact simulation of tempered stable Ornstein-Uhlenbeck processes
- Simulating continuous-time autoregressive moving average processes driven by p -tempered α -stable Lévy processes
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
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