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

DOI10.3150/07-BEJ6011zbMATH Open1121.60049OpenAlexW2056624077MaRDI QIDQ880482FDOQ880482

Authors: Serge Cohen, Jan Rosiński 

Publication date: 15 May 2007

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.3150/07-bej6011

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zbMATH Keywords

Gaussian approximationtempered stable processsimulationsshot noise series expansionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Cited In (40)

• 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
• On subordinated multivariate Gaussian Lévy processes
• Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
• Modeling and simulation with operator scaling
• The multilevel Monte Carlo method used on a Lévy driven SDE
• A Monte Carlo method for 3D radiative transfer equations with multifractional singular kernels
• Nonnormal Small Jump Approximation of Infinitely Divisible Distributions
• First jump approximation of a Lévy-driven SDE and an application to multivariate ECOGARCH processes
• 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
• 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

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