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Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution

Taufer, Emanuele and Leonenko, Nikolai N. 2009. Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution. Computational Statistics & Data Analysis 53 (6) , pp. 2427-2437. 10.1016/j.csda.2008.02.026

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Abstract

A simulation procedure for obtaining discretely observed values of Ornstein–Uhlenbeck processes with given (self-decomposable) marginal distribution is provided. The method proposed, based on inversion of the characteristic function, completely circumvents the problems encountered when trying to reproduce small jumps of Lévy processes. Error bounds for the proposed procedure are provided and its performance is numerically assessed.

Item Type: Article
Date Type: Publication
Status: Published
Schools: Mathematics
Subjects: Q Science > QA Mathematics
Publisher: Elsevier
ISSN: 0167-9473
Last Modified: 04 Jun 2017 02:55
URI: http://orca.cf.ac.uk/id/eprint/13908

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