| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 416133 | Computational Statistics & Data Analysis | 2009 | 11 Pages |
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.
Related Topics
Physical Sciences and Engineering
Computer Science
Computational Theory and Mathematics
Authors
Emanuele Taufer, Nikolai Leonenko,