Numerical inverse Lévy measure method for infinite shot noise series representation

DOI10.1016/j.cam.2013.04.003zbMath1288.65008OpenAlexW2046640018MaRDI QIDQ2453198

Junichi Imai, Reiichiro Kawai

Publication date: 6 June 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.cam.2013.04.003

zbMATH Keywords

numerical inversionLévy processquasi-Monte Carlo methodstochastic differential equation with jumpsinfinitely divisible random vectorsample paths simulation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Numerical solutions to stochastic differential and integral equations (65C30)

Related Items (9)

On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models ⋮ Simulation of Student-Lévy processes using series representations ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Higher order fractional stable motion: hyperdiffusion with heavy tails ⋮ A general approach to sample path generation of infinitely divisible processes via shot noise representation ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ Approximate simulation techniques and distribution of an extended gamma process

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