Simulation of Student-Lévy processes using series representations

DOI10.1007/S00180-018-0814-YMaRDI QIDQ1729303zbMATH OpenOpenAlexFDO

Authors Till Massing

Publication date 27 February 2019

Published in Computational Statistics (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00180-018-0814-y

zbMATH Keywords

simulation studynumerical inversionStudent \(t\) distributionpure jump processsample path simulationLévy process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Random number generation in numerical analysis (65C10)

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Cites work

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• Theory of Financial Risk and Derivative Pricing

Cited in

(3)

• Numerical aspects of shot noise representation of infinitely divisible laws and related processes
• Local asymptotic normality for Student-Lévy processes under high-frequency sampling
• Parameter estimation and random number generation for student Lévy processes

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