First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise (Q2191844)
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| Language | Label | Description | Also known as |
|---|---|---|---|
| English | First jump time in simulation of sampling trajectories of affine jump-diffusions driven by \(\alpha\)-stable white noise |
scientific article |
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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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