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

DOI10.1145/1842722.1842723zbMath1386.65028OpenAlexW2007307276MaRDI QIDQ4635155

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

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 interpolation (65D05) Numerical integration (65D30)

Related Items (13)

Efficient simulation of the price and the sensitivities of basket options under time-changed Brownian motions ⋮ Dimension reduction for pricing options under multidimensional Lévy processes ⋮ Efficient randomized quasi-Monte Carlo methods for portfolio market risk ⋮ Generating generalized inverse Gaussian random variates ⋮ \(t\)-Copula generation for control variates ⋮ Importance Sampling and Stratification for Copula Models ⋮ Generating generalized inverse Gaussian random variates by fast inversion ⋮ Numerical inverse Lévy measure method for infinite shot noise series representation ⋮ Simulation of Student-Lévy processes using series representations ⋮ Comparison of low discrepancy mesh methods for pricing Bermudan options under a Lévy process ⋮ A general control variate method for option pricing under Lévy processes ⋮ Universal methods for generating random variables with a given characteristic function ⋮ Adaptive sampling-based quadrature rules for efficient Bayesian prediction

Uses Software

• UNU.RAN

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