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Exact Simulation of a Truncated Lévy Subordinator:
Dassios, Angelos
;
Lim, Jia Wei
;
Qu, Yan
ACM Transactions on Modeling and Computer Simulation (TOMACS). 30 (2020) 3 - p. 1-17 , 2020
Link:
https://dl.acm.org/doi/10.1145/3368088
RT Journal T1
Exact Simulation of a Truncated Lévy Subordinator
UL https://suche.suub.uni-bremen.de/peid=acm-3368088&Exemplar=1&LAN=DE A1 Dassios, Angelos A1 Lim, Jia Wei A1 Qu, Yan PB ACM YR 2020 SN 1049-3301 SN 1558-1195 K1 Brownian motion subordination K1 Lévy-driven Ornstein-Uhlenbeck process K1 Monte Carlo simulation K1 exact simulation K1 marked renewal representation K1 stable process K1 truncated stable process K1 truncated tempered stable process K1 two-sided truncated Lévy process K1 Mathematics of computing K1 Probability and statistics K1 Stochastic processes JF ACM Transactions on Modeling and Computer Simulation (TOMACS) VO 30 IS 3 SP 1 OP 17 LK http://dx.doi.org/https://dl.acm.org/doi/10.1145/3368088 DO https://dl.acm.org/doi/10.1145/3368088 SF ELIB - SuUB Bremen
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