First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (Q2191844)
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scientific article; zbMATH DE number 7215246
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| English | First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise |
scientific article; zbMATH DE number 7215246 |
Statements
First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (English)
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26 June 2020
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stochastic differential equations
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affine coefficients
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\(\alpha\)-stable processes
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simulation
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multivariate Lagrange interpolation
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0.9152159690856934
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0.7022091746330261
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0.6991809606552124
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0.6965561509132385
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0.6920458078384399
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