Exact simulation of the extrema of stable processes

DOI10.1017/APR.2019.39MaRDI QIDQ5203973zbMATH OpenOpenAlexWikidataFDO

Authors

Publication date 9 December 2019

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

Full work available at URL https://arxiv.org/abs/1806.01870

zbMATH Keywords

simulationrandom variate generationstable processperfect simulationperpetuitiesdominated coupling from the past

Mathematics Subject Classification ID

Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

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Cites work

• scientific article; zbMATH DE number 3858118 (Why is no real title available?)
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• A note on the supremum of a stable process
• Chance and Stability
• Exact Sampling from a Continuous State Space
• Exact simulation of generalised Vervaat perpetuities
• Explicit formula for the supremum distribution of a spectrally negative stable process
• Fast perfect simulation of Vervaat perpetuities
• Markov Chains and Stochastic Stability
• On exact sampling of nonnegative infinitely divisible random variables
• On exact sampling of stochastic perpetuities
• On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation
• On extrema of stable processes
• On simulation and properties of the stable law
• On suprema of Lévy processes and application in risk theory
• On the density of the supremum of a stable process
• Perfect simulation
• Perfect simulation of Vervaat perpetuities
• Perfect simulation using dominating processes on ordered spaces, with application to locally stable point processes
• Predicting the ultimate supremum of a stable Lévy process with no negative jumps
• Simulating perpetuities
• Simulating the Dickman distribution
• Simulating the maximum of a random walk
• Stochastic Models with Power-Law Tails
• The convex minorant of a Lévy process
• The double CFTP method
• The law of the supremum of a stable Lévy process with no negative jumps

Cited in

(14)

• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Zooming-in on a Lévy process: failure to observe threshold exceedance over a dense grid
• Dini derivatives and regularity for exchangeable increment processes
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• Exact simulation of IG-OU processes
• Exact simulation of Hawkes process with exponentially decaying intensity
• Geometrically convergent simulation of the extrema of Lévy processes
• SupStable.jl
• Joint density of the stable process and its supremum: regularity and upper bounds
• Efficient Computation of Extreme Excursion Probabilities for Dynamical Systems through Rice's Formula
• -strong simulation of the convex minorants of stable processes and meanders
• Exact simulation of generalised Vervaat perpetuities
• Exact Simulation of the Extrema of Stable Processes
• Perfect simulation with exponential tails on the running time

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Uses Software

• GitHub

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