Efficient simulation of Lévy-driven point processes
DOI10.1017/apr.2019.44zbMath1427.60090OpenAlexW2950954333MaRDI QIDQ5203972
Angelos Dassios, Hongbiao Zhao, Yan Qu
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
Monte Carlo simulationpoint processbranching processportfolio risk managementgamma processexact simulationexact decompositioncontagion risktempered 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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