Exact simulation of Ornstein–Uhlenbeck tempered stable processes
From MaRDI portal
Publication:4997193
DOI10.1017/jpr.2020.92OpenAlexW3091463337MaRDI QIDQ4997193
Angelos Dassios, Hongbiao Zhao, Yan Qu
Publication date: 28 June 2021
Published in: Journal of Applied Probability (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1017/jpr.2020.92
Monte Carlo simulationexact simulationtempered stable subordinatornon-Gaussian Ornstein-Uhlenbeck processOU tempered stable processtempered stable OU process
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Computational methods for stochastic equations (aspects of stochastic analysis) (60H35)
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