کد مقاله | کد نشریه | سال انتشار | مقاله انگلیسی | نسخه تمام متن |
---|---|---|---|---|
1155456 | 958729 | 2016 | 21 صفحه PDF | دانلود رایگان |
عنوان انگلیسی مقاله ISI
On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation
دانلود مقاله + سفارش ترجمه
دانلود مقاله ISI انگلیسی
رایگان برای ایرانیان
کلمات کلیدی
موضوعات مرتبط
مهندسی و علوم پایه
ریاضیات
ریاضیات (عمومی)
پیش نمایش صفحه اول مقاله
![عکس صفحه اول مقاله: On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation](/preview/png/1155456.png)
چکیده انگلیسی
Exact sampling of the first passage event (FPE) of a Lévy process with infinite Lévy measure is challenging due to lack of analytic formulas. We present an approach to the sampling for processes with bounded variation. The idea is to embed a process for which we wish to sample the FPE into another process whose FPE can be sampled based on analytic formulas, and once the latter FPE is sampled, extract from it the part belonging to the former process. We obtain general procedures to sample the FPE across a regular nonincreasing boundary or out of an interval. Concrete algorithms are given for two important classes of Lévy processes. The approach is based on distributional results that appear to be new.
ناشر
Database: Elsevier - ScienceDirect (ساینس دایرکت)
Journal: Stochastic Processes and their Applications - Volume 126, Issue 4, April 2016, Pages 1124–1144
Journal: Stochastic Processes and their Applications - Volume 126, Issue 4, April 2016, Pages 1124–1144
نویسندگان
Zhiyi Chi,