Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes

Cited In (38)

Simulation of Tempered Stable Lévy Bridges and Its Applications
On Stein's method for multivariate self-decomposable laws
Simulation of Student-Lévy processes using series representations
Non-asymptotic control of the cumulative distribution function of Lévy processes
Series representations for multivariate time-changed Lévy models
Monte Carlo Methods for Radiative Transfer with Singular Kernels
On Kolmogorov equations for anisotropic multivariate Lévy processes
Tempered fractional calculus
Diffusion approximation of Lévy processes with a view towards finance
Rejection sampling for tempered Lévy processes
A general approach to sample path generation of infinitely divisible processes via shot noise representation
Jump-adapted discretization schemes for Lévy-driven SDEs
Multilevel Monte Carlo algorithms for Lévy-driven SDEs with Gaussian correction
Approximating Multivariate Tempered Stable Processes
Estimation of tempered stable Lévy models of infinite variation
Importance sampling and statistical Romberg method for Lévy processes
Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
Modeling and simulation with operator scaling
A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels
Nonnormal Small Jump Approximation of Infinitely Divisible Distributions
Brownian approximation and Monte Carlo simulation of the non-cutoff Kac equation
Approximations for Solutions of Lévy-Type Stochastic Differential Equations
\(hp\)-DGFEM for Kolmogorov-Fokker-Planck equations of multivariate Lévy processes
Lévy flights in evolutionary ecology
On simulation of tempered stable random variates
Tempered fractional Brownian motion: wavelet estimation, modeling and testing
Pricing of Spread Options on a Bivariate Jump Market and Stability to Model Risk
Title not available (Why is that?)
Numerical methods for Lévy processes
The Multilevel Monte Carlo method used on a Lévy driven SDE
Normal approximation of the solution to the stochastic heat equation with Lévy noise
Total variation distance for discretely observed Lévy processes: a Gaussian approximation of the small jumps
Approximations of small jumps of Lévy processes with a view towards simulation
Tempered stable Lévy motion and transient super-diffusion
Stochastic systems with memory and jumps
Numerical aspects of shot noise representation of infinitely divisible laws and related processes
Branching stable processes and motion by mean curvature flow
Numerical inverse Lévy measure method for infinite shot noise series representation

This page was built for publication: Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q880482)