Random variate generation for the first hit of a ball for the symmetric stable process in R^d

DOI10.1007/S42519-023-00364-1MaRDI QIDQ6537394zbMATH OpenFDO

Authors Luc Devroye, John P. Nolan

Publication date 14 May 2024

Published in Journal of Statistical Theory and Practice (Search for Journal in Brave)

Copyright license Creative Commons Attribution 4.0 International

Full work available at URL https://doi.org/10.1007/S42519-023-00364-1

zbMATH Keywords

expected time analysishitting timesMonte Carlo methodrandom variate generationsimulationstable processes

Mathematics Subject Classification ID

Computational methods for problems pertaining to probability theory (60-08) Stable stochastic processes (60G52) Monte Carlo methods (65C05) Random number generation in numerical analysis (65C10)

Cites work

• Density of space-time distribution of Brownian first hitting of a disc and a ball
• scientific article; zbMATH DE number 3954145 (Why is no real title available?)
• Intégrales de Riemann-Liouville et potentiels.
• On the Distribution of First Hits for the Symmetric Stable Processes
• Some Theorems Concerning 2-Dimensional Brownian Motion
• Stable Lévy processes, self-similarity and the unit ball
• Stable Processes and Integral Equations

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