Abstract
Qu, Dassios, and Zhao (2021) suggested an exact simulation method for tempered stable Ornstein-Uhlenbeck processes, but their algorithms contain some errors. This short note aims to correct their algorithms and conduct some numerical experiments.
| Original language | English |
|---|---|
| Pages (from-to) | 1196-1198 |
| Number of pages | 3 |
| Journal | Journal of Applied Probability |
| Volume | 61 |
| Issue number | 4 |
| DOIs | |
| Publication status | Published - 2024 Dec 1 |
Keywords
- Monte Carlo simulation
- Ornstein-Uhlenbeck process
- inverse Gaussian process
- tempered stable process
ASJC Scopus subject areas
- Statistics and Probability
- General Mathematics
- Statistics, Probability and Uncertainty
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