Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
From MaRDI portal
Publication:3094135
DOI10.1515/MCMA.2011.012zbMath1232.65016MaRDI QIDQ3094135
Hiroki Masuda, Reiichiro Kawai
Publication date: 21 October 2011
Published in: Monte Carlo Methods and Applications (Search for Journal in Brave)
Ornstein-Uhlenbeck processsubordinatorLévy processtempered stable distributionacceptance-rejecting sampling
Lua error in Module:PublicationMSCList at line 37: attempt to index local 'msc_result' (a nil value).
Related Items (16)
On the consistency of the MLE for Ornstein-Uhlenbeck and other selfdecomposable processes ⋮ Measuring Impact of Random Jumps Without Sample Path Generation ⋮ Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations ⋮ Local asymptotic normality property for Ornstein-Uhlenbeck processes with jumps under discrete sampling ⋮ Asymptotic degeneracy and subdiffusivity ⋮ Gamma-related Ornstein–Uhlenbeck processes and their simulation* ⋮ On the simulation of general tempered stable Ornstein–Uhlenbeck processes ⋮ Solving Multidimensional Fractional Fokker--Planck Equations via Unbiased Density Formulas for Anomalous Diffusion Processes ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Numerical aspects of shot noise representation of infinitely divisible laws and related processes ⋮ Modelling tail risk with tempered stable distributions: an overview ⋮ Sample path generation of Lévy-driven continuous-time autoregressive moving average processes ⋮ On simulation of tempered stable random variates ⋮ Cusping, transport and variance of solutions to generalized Fokker–Planck equations ⋮ Fast simulation of tempered stable Ornstein-Uhlenbeck processes ⋮ Discussion of `On simulation and properties of the stable law' by Devroye and James
Cites Work
- On simulation of tempered stable random variates
- Nonparametric inference for Lévy-driven Ornstein-Uhlenbeck processes
- Tempering stable processes
- Exact simulation of IG-OU processes
- Stable densities under change of scale and total variation inequalities
- On multidimensional Ornstein-Uhlenbeck processes driven by a general Lévy process
- Non-Gaussian Ornstein–Uhlenbeck-based Models and Some of Their Uses in Financial Economics
- Infinite Variation Tempered Stable Ornstein–Uhlenbeck Processes with Discrete Observations
- On the Transition Law of Tempered Stable Ornstein–Uhlenbeck Processes
- Computer Generation of Poisson Deviates from Modified Normal Distributions
- Normal Variance-Mean Mixtures and z Distributions
- Generating Random Variates Using Transformations with Multiple Roots
- A Method for Simulating Stable Random Variables
- Random variate generation for exponentially and polynomially tilted stable distributions
- Generalized Gamma measures and shot-noise Cox processes
- Estimation for Nonnegative Lévy-Driven Ornstein-Uhlenbeck Processes
- Valuing Volatility and Variance Swaps for a Non‐Gaussian Ornstein–Uhlenbeck Stochastic Volatility Model
This page was built for publication: Exact discrete sampling of finite variation tempered stable Ornstein–Uhlenbeck processes
