A REMARK ON EXACT SIMULATION OF TEMPERED STABLE ORNSTEIN-UHLENBECK PROCESSES

Takuji Arai; Yuto Imai

doi:10.1017/jpr.2024.17

A REMARK ON EXACT SIMULATION OF TEMPERED STABLE ORNSTEIN-UHLENBECK PROCESSES

Takuji Arai
, Yuto Imai

経済学部

研究成果: Article › 査読

1 被引用数 (Scopus)

抄録

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.

本文言語	English
ページ（範囲）	1196-1198
ページ数	3
ジャーナル	Journal of Applied Probability
巻	61
号	4
DOI	https://doi.org/10.1017/jpr.2024.17
出版ステータス	Published - 2024 12月 1

ASJC Scopus subject areas

統計学および確率
数学一般
統計学、確率および不確実性

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10.1017/jpr.2024.17

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引用スタイル

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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.",

keywords = "Monte Carlo simulation, Ornstein-Uhlenbeck process, inverse Gaussian process, tempered stable process",

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AB - 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.

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KW - inverse Gaussian process

KW - tempered stable process

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A REMARK ON EXACT SIMULATION OF TEMPERED STABLE ORNSTEIN-UHLENBECK PROCESSES

抄録

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