Exact simulation of tempered stable Ornstein--Uhlenbeck processes (Q5300752)
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scientific article; zbMATH DE number 6182253
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| English | Exact simulation of tempered stable Ornstein--Uhlenbeck processes |
scientific article; zbMATH DE number 6182253 |
Statements
Exact simulation of tempered stable Ornstein–Uhlenbeck processes (English)
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28 June 2013
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self-decomposability
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tempered stable
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Ornstein-Uhlenbeck
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random sample generation
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rejection method
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0.9179666638374328
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0.8788600564002991
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0.8691115975379944
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0.8477041721343994
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0.8398774266242981
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