SupStable.jl

swMATH34616MaRDI QIDQ46325FDOQ46325

Author name not available (Why is that?)

Official website: https://arxiv.org/abs/1806.01870v2

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

Described by source

• Exact simulation of the extrema of stable processes

Cited In (6)

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

This page was built for software: SupStable.jl