Exact Simulation of the Extrema of Stable Processes
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Publication:6302598
DOI10.1017/APR.2019.39arXiv1806.01870WikidataQ126788388 ScholiaQ126788388MaRDI QIDQ6302598FDOQ6302598
Authors: Jorge I. González Cázares, Aleksandar Mijatović, Gerónimo Uribe Bravo 
Publication date: 5 June 2018
Abstract: We exhibit an exact simulation algorithm for the supremum of a stable process over a finite time interval using dominated coupling from the past (DCFTP). We establish a novel perpetuity equation for the supremum (via the representation of the concave majorants of L'evy processes) and apply it to construct a Markov chain in the DCFTP algorithm. We prove that the number of steps taken backwards in time before the coalescence is detected is finite. We analyse numerically the performance of the algorithm (the code, written in Julia 1.0, is available on GitHub).
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