Efficient simulation of Lévy-driven point processes
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point processMonte Carlo simulationgamma processexact simulationbranching processcontagion riskexact decompositionportfolio risk managementtempered stable subordinatorstochastic intensity modelnon-Gaussian Ornstein-Uhlenbeck processinverse Gaussian subordinatorself-exciting jump process with non-Gaussian Ornstein-Uhlenbeck intensity
Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Exact distribution theory in statistics (62E15) Monte Carlo methods (65C05) Point processes (e.g., Poisson, Cox, Hawkes processes) (60G55) Jump processes on discrete state spaces (60J74)
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Cited in
(6)- Exact simulation of point processes with stochastic intensities
- Efficient simulation of clustering jumps with CIR intensity
- Efficient Simulation of Sparse Graphs of Point Processes
- Point process simulation of generalised hyperbolic Lévy processes
- Exact simulation of Ornstein–Uhlenbeck tempered stable processes
- Affine point processes: approximation and efficient simulation
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