Quasi-Monte Carlo Method for Infinitely Divisible Random Vectors via Series Representations

DOI10.1137/090752365zbMath1216.60015OpenAlexW2015845215MaRDI QIDQ2998013

Reiichiro Kawai, Junichi Imai

Publication date: 17 May 2011

Published in: SIAM Journal on Scientific Computing (Search for Journal in Brave)

Full work available at URL: http://hdl.handle.net/2381/8366

zbMATH Keywords

Poisson processquasi-Monte Carlo methodgamma processshot noiseeffective dimensionmoment estimationtail probability estimation

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Monte Carlo methods (65C05) Numerical integration (65D30) Numerical summation of series (65B10)

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Dimension reduction for pricing options under multidimensional Lévy processes ⋮ On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ On simulation of tempered stable random variates ⋮ A general control variate method for option pricing under Lévy processes ⋮ On the likelihood function of small time variance Gamma Lévy processes

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