Exact simulation of a truncated Lévy subordinator
type: Item
instance of: scholarly article
title: Exact simulation of a truncated Lévy subordinator
zbMATH Open document ID: 1544.6001
DOI: 10.1145/3368088
author: Angelos Dassios
author: Jia Wei Lim
author: Yan Qu
published in: ACM Transactions on Modeling and Computer Simulation
publication date: 2024-09-08T00:00:00Z
Mathematics Subject Classification ID: 60-08
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60E07
Mathematics Subject Classification ID: 65C05
zbMATH DE Number: 7908640
zbMATH Keywords: Brownian motion subordination
zbMATH Keywords: Lévy-driven Ornstein-Uhlenbeck process
zbMATH Keywords: Monte Carlo simulation
zbMATH Keywords: exact simulation
zbMATH Keywords: marked renewal representation
zbMATH Keywords: stable process
zbMATH Keywords: truncated stable process
zbMATH Keywords: truncated tempered stable process
zbMATH Keywords: two-sided truncated Lévy process
MaRDI profile type: MaRDI publication profile
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description: scientific article; zbMATH DE number 7908640