Efficient simulation of p-tempered α-stable OU processes

We develop efficient methods for simulating processes of Ornstein-Uhlenbeck type related to the class of p-tempered alpha-stable (TS alpha p) distributions. Our results hold for both the univariate and multivariate cases and we consider both the case where the TS alpha p distribution is the stationary law and where it is the distribution of the background driving Levy process. In the latter case, we also derive an explicit representation for the transition law as this was previous known only in certain special cases and only for p = 1 and alpha is an element of [0, 1). Simulation results suggest that our methods work well in practice.