A Monte Carlo algorithm for the extrema of tempered stable processes (Q6198071)

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scientific article; zbMATH DE number 7806766
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A Monte Carlo algorithm for the extrema of tempered stable processes
scientific article; zbMATH DE number 7806766

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    A Monte Carlo algorithm for the extrema of tempered stable processes (English)
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    20 February 2024
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    supremum
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    tempered
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    Lévy process
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    simulation
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    Monte Carlo estimation
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    geometric convergence
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    multilevel Monte Carlo
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