Random variate generation by numerical inversion when only the density is known

DOI10.1145/1842722.1842723zbMATH Open1386.65028OpenAlexW2007307276WikidataQ130959611 ScholiaQ130959611MaRDI QIDQ4635155FDOQ4635155

Authors: Gerhard Derflinger, Wolfgang Hörmann, Josef Leydold 

Publication date: 16 April 2018

Published in: ACM Transactions on Modeling and Computer Simulation (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1145/1842722.1842723

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zbMATH Keywords

Newton interpolationinversion methoduniversal methodGauss-Lobatto integrationblack-box algorithmnonuniform random variates

Mathematics Subject Classification ID

Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical integration (65D30) Numerical interpolation (65D05)

Cited In (29)

• Simulation of Student-Lévy processes using series representations
• A general control variate method for option pricing under Lévy processes
• A Flexible Method for Estimating Inverse Distribution Functions in Simulation Experiments
• Efficient numerical inversion for financial simulations
• Rejection-inversion to generate variates from monotone discrete distributions
• Methods for generating random variates with Polya characteristic functions
• A method for approximate inversion of the hyperbolic CDF
• Efficient and accurate parallel inversion of the gamma distribution
• Efficient randomized quasi-Monte Carlo methods for portfolio market risk
• Uniform fractional part: a simple fast method for generating continuous random variates
• Bivariate nonparametric random variate generation using a piecewise-linear cumulative distribution function
• Generating generalized inverse Gaussian random variates by fast inversion
• Dimension reduction for pricing options under multidimensional Lévy processes
• Universal methods for generating random variables with a given characteristic function
• Generating inverse Gaussian random variates by approximation
• Random variate generation for the generalized inverse Gaussian distribution
• \(t\)-Copula generation for control variates
• On random variate generation when only moments of Fourier coefficients are known
• Class library ranlip for multivariate nonuniform random variate generation
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• Continuous random variate generation by fast numerical inversion
• Inverting the symmetrical beta distribution
• Adaptive sampling-based quadrature rules for efficient Bayesian prediction
• Generating generalized inverse Gaussian random variates
• Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions
• A numerical inversion of the bivariate characteristic function
• Importance sampling and stratification for copula models
• Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process
• Numerical inverse Lévy measure method for infinite shot noise series representation

Uses Software

• UNU.RAN

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