Random variate generation by numerical inversion when only the density is known
DOI10.1145/1842722.1842723zbMATH Open1386.65028OpenAlexW2007307276WikidataQ130959611 ScholiaQ130959611MaRDI QIDQ4635155FDOQ4635155
Josef Leydold, Gerhard Derflinger, Wolfgang Hörmann
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
Newton interpolationinversion methoduniversal methodGauss-Lobatto integrationblack-box algorithmnonuniform random variates
Probabilistic models, generic numerical methods in probability and statistics (65C20) Numerical integration (65D30) Numerical interpolation (65D05)
Cited In (15)
- Simulation of Student-Lévy processes using series representations
- A general control variate method for option pricing under Lévy processes
- Rejection-inversion to generate variates from monotone discrete distributions
- Efficient randomized quasi-Monte Carlo methods for portfolio market risk
- Generating generalized inverse Gaussian random variates by fast inversion
- Importance Sampling and Stratification for Copula Models
- Dimension reduction for pricing options under multidimensional Lévy processes
- Universal methods for generating random variables with a given characteristic function
- \(t\)-Copula generation for control variates
- On random variate generation when only moments of Fourier coefficients are known
- 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
- 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
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