Efficient simulation of p-tempered α-stable OU processes

被引：0

作者：

Grabchak, Michael ^{[1
]}

Sabino, Piergiacomo ^{[2
,3
]}

机构：

[1] Univ North Carolina Charlotte, Charlotte, NC 28223 USA

[2] EON SE, Quantitat Risk Management, Brusseler Pl 1, D-45131 Essen, Germany

[3] Univ Helsinki, Dept Math & Stat, POB 68, FIN-00014 Helsinki, Finland

来源：

STATISTICS AND COMPUTING | 2023年 / 33卷 / 01期

关键词：

Tempered stable distributions; Non-Gaussian Ornstein Uhlenbeck processes; Rejection sampling; MODELS; DISTRIBUTIONS; RETURNS; FINITE;

D O I：

10.1007/s11222-022-10165-4

中图分类号：

TP301 [理论、方法];

学科分类号：

081202 ;

摘要：

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.

引用

页数：19

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