-strong simulation of the convex minorants of stable processes and meanders

DOI10.1214/20-EJP503zbMATH Open1459.60083arXiv1910.13273OpenAlexW2982336089MaRDI QIDQ2201511FDOQ2201511

Aleksandar Mijatović, Jorge I. González Cázares, Gerónimo Uribe Bravo

Publication date: 29 September 2020

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: Using marked Dirichlet processes we characterise the law of the convex minorant of the meander for a certain class of L'evy processes, which includes subordinated stable and symmetric L'evy processes. We apply this characterisaiton to construct $varepsilon$-strong simulation ($varepsilon$SS) algorithms for the convex minorant of stable meanders, the finite dimensional distributions of stable meanders and the convex minorants of weakly stable processes. We prove that the running times of our $varepsilon$SS algorithms have finite exponential moments. We implement the algorithms in Julia 1.0 (available on GitHub) and present numerical examples supporting our convergence results.

Full work available at URL: https://arxiv.org/abs/1910.13273

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zbMATH Keywords

simulationstable processconvex minorantstable meanders

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Sample path properties (60G17)

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Cited In (5)

• Discretization of the Lamperti representation of a positive self-similar Markov process
• \(\varepsilon\)-strong simulation of the Brownian path
• Unbiased simulation of rare events in continuous time
• \(L^p\) simulation for measures
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

Uses Software

• SupStable.jl
• GitHub

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