Simulation of stochastic integrals with respect to Lévy processes of type G.

DOI10.1016/S0304-4149(02)00123-0MaRDI QIDQ2574503zbMATH OpenFDO

Authors Magnus Wiktorsson

Publication date 29 November 2005

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1016/S0304-4149(02)00123-0

zbMATH Keywords

shot noise representationstochastic time changesubordinationtype G distributionvariance mixture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic integrals (60H05)

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Cites work

• scientific article; zbMATH DE number 4034749 (Why is no real title available?)
• scientific article; zbMATH DE number 45955 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• Processes of normal inverse Gaussian type
• Some time change representations of stable integrals, via predictable transformations of local martingales
• Stationary and self-similar processes driven by Lévy processes
• The normal inverse gaussian lévy process: simulation and approximation
• Time Change Representation of Stochastic Integrals

Cited in

(10)

• Simulation of Student-Lévy processes using series representations
• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Point process simulation of generalised inverse Gaussian processes and estimation of the Jaeger integral
• Spatial Matérn fields driven by non-Gaussian noise
• Series representation and simulation of multifractional Lévy motions
• A Monte Carlo algorithm for multiple stochastic integrals of stable processes
• Unified moment-based modeling of integrated stochastic processes
• An explicit link between Gaussian fields and Gaussian Markov random fields: the stochastic partial differential equation approach
• Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
• Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution

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