A Monte Carlo algorithm for multiple stochastic integrals of stable processes

DOI10.1142/S0219493722400391OpenAlexW4313552001MaRDI QIDQ5885232FDOQ5885232

Manfred Denker, Anirban Das, Lucia Tabacu, Anna Levina

Publication date: 3 April 2023

Published in: Stochastics and Dynamics (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1142/s0219493722400391

zbMATH Keywords

Monte Carlo methodstable processmultiple stochastic integral

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Probability distributions: general theory (60E05) Infinitely divisible distributions; stable distributions (60E07)

Cites Work

• Simulation of stochastic integrals with respect to Lévy processes of type G.
• A Class of Statistics with Asymptotically Normal Distribution
• A universal result in almost sure central limit theory.
• On Itô stochastic integration with respect to p-stable motion: Inner clock, integrability of sample paths, double and multiple integrals
• Resampling \(U\)-statistics using \(p\)-stable laws
• Limit distributions of U-statistics resambled by symmetric stable laws
• Almost sure limit theorems for \(U\)-statistics
• Title not available (Why is that?)
• Pseudorandom numbers for conformal measures

Cited In (1)

• Some evaluations for continuous Monte Carlo method by using Brownian hitting process

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