On Monte Carlo and Quasi-Monte Carlo Methods for Series Representation of Infinitely Divisible Laws

DOI10.1007/978-3-642-27440-4_26zbMath1271.65005OpenAlexW33565650MaRDI QIDQ5326124

Junichi Imai, Reiichiro Kawai

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

zbMATH Keywords

numerical resultsLévy processesimportance samplingMonte Carlo simulationsvariance reductionquasi-Monte Carloinfinitely divisible random vectors

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Monte Carlo methods (65C05)

Related Items

Numerical inverse Lévy measure method for infinite shot noise series representation, Numerical aspects of shot noise representation of infinitely divisible laws and related processes, Sample path generation of Lévy-driven continuous-time autoregressive moving average processes

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