On Monte Carlo and quasi-Monte Carlo methods for series representation of infinitely divisible laws
DOI10.1007/978-3-642-27440-4_26zbMATH Open1271.65005OpenAlexW33565650MaRDI QIDQ5326124FDOQ5326124
Authors: Reiichiro Kawai, Junichi Imai 
Publication date: 31 July 2013
Published in: Springer Proceedings in Mathematics & Statistics (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1007/978-3-642-27440-4_26
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- Numerical inverse Lévy measure method for infinite shot noise series representation
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Cited In (5)
- A general approach to sample path generation of infinitely divisible processes via shot noise representation
- Numerical aspects of shot noise representation of infinitely divisible laws and related processes
- Quasi-Monte Carlo method for infinitely divisible random vectors via series representations
- Numerical inverse Lévy measure method for infinite shot noise series representation
- Sample path generation of Lévy-driven continuous-time autoregressive moving average processes
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