Numerical inverse Lévy measure method for infinite shot noise series representation
From MaRDI portal
Publication:2453198
DOI10.1016/j.cam.2013.04.003zbMath1288.65008MaRDI QIDQ2453198
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
numerical inversion; Lévy process; quasi-Monte Carlo method; stochastic differential equation with jumps; infinitely divisible random vector; sample paths simulation
60E07: Infinitely divisible distributions; stable distributions
60G51: Processes with independent increments; Lévy processes
65C05: Monte Carlo methods
65C30: Numerical solutions to stochastic differential and integral equations
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