Efficient simulation of Lévy-driven point processes

DOI10.1017/APR.2019.44zbMATH Open1427.60090OpenAlexW2950954333MaRDI QIDQ5203972FDOQ5203972

Authors: Yan Qu, Angelos Dassios, Hongbiao Zhao 

Publication date: 9 December 2019

Published in: Advances in Applied Probability (Search for Journal in Brave)

Full work available at URL: http://eprints.lse.ac.uk/101002/1/Paper_OU_Point_Gamma_ETS_sim.pdf

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zbMATH Keywords

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

Mathematics Subject Classification ID

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

Uses Software

• CreditRisk+

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