SupStable.jl

swMATH34616MaRDI QIDQ46325FDOQ46325

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Source code repository: https://github.com/jorgeignaciogc/SupStable.jl

Described by source

• Exact simulation of the extrema of stable processes

Cited In (5)

• Dini derivatives and regularity for exchangeable increment processes
• Optimal estimation of the supremum and occupation times of a self-similar Lévy process
• \(\varepsilon\)-strong simulation of the convex minorants of stable processes and meanders
• Geometrically Convergent Simulation of the Extrema of Lévy Processes
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation

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