Exact simulation of generalised Vervaat perpetuities
From MaRDI portal
Publication:4968511
DOI10.1017/JPR.2019.6zbMATH Open1418.60040OpenAlexW2913975020MaRDI QIDQ4968511FDOQ4968511
Authors: Angelos Dassios, Yan Qu, Jia Wei Lim 
Publication date: 15 July 2019
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: http://eprints.lse.ac.uk/91489/1/Dassios_Exact-simulation-of-generalised.pdf
Recommendations
- Fast perfect simulation of Vervaat perpetuities
- Perfect simulation of Vervaat perpetuities
- Efficient rare-event simulation for perpetuities
- Exact simulation problems for jump-diffusions
- Dickman approximation in simulation, summations and perpetuities
- Exact simulation for multivariate Itô diffusions
- Exact simulation of the extrema of stable processes
- Exact simulation of max-stable processes
- Exact simulation of jump-diffusion processes with Monte Carlo applications
- Exact Simulation of Stochastic Volatility and Other Affine Jump Diffusion Processes
Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05) Markov renewal processes, semi-Markov processes (60K15)
Cites Work
- On exact sampling of nonnegative infinitely divisible random variables
- Title not available (Why is that?)
- On a stochastic difference equation and a representation of non–negative infinitely divisible random variables
- Analysis of quickselect : an algorithm for order statistics
- Asymptotic distribution theory for Hoare's selection algorithm
- Finite and infinite time ruin probabilities in a stochastic economic environment.
- Simulating perpetuities
- Simulating the Dickman distribution
- Perfect simulation of Vervaat perpetuities
- Perpetuities with thin tails
- On exact sampling of stochastic perpetuities
- Title not available (Why is that?)
- On stochastic processes connected with certain physical recording apparatuses
- On secondary processes generated by a Poisson process and their applications in physics
- On the central role of the scale invariant Poisson processes on (0,infty)
- Fast perfect simulation of Vervaat perpetuities
Cited In (11)
- On exact sampling of stochastic perpetuities
- An application of risk theory to mortgage lending
- Fast perfect simulation of Vervaat perpetuities
- Exact simulation of Poisson-Dirichlet distribution and generalised gamma process
- Representation and simulation of multivariate Dickman distributions and Vervaat perpetuities
- Exact simulation of the extrema of stable processes
- An exact method for simulating rapidly decreasing tempered stable distributions in the finite variation case
- Truncated Poisson-Dirichlet approximation for Dirichlet process hierarchical models
- Exact simulation of a truncated Lévy subordinator
- Simulating perpetuities
- Perfect simulation of Vervaat perpetuities
This page was built for publication: Exact simulation of generalised Vervaat perpetuities
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q4968511)
