Back to Search
Start Over
A remark on exact simulation of tempered stable Ornstein–Uhlenbeck processes.
- Source :
- Journal of Applied Probability; Dec2024, Vol. 61 Issue 4, p1196-1198, 3p
- Publication Year :
- 2024
-
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. [ABSTRACT FROM AUTHOR]
- Subjects :
- MONTE Carlo method
GAUSSIAN processes
ALGORITHMS
Subjects
Details
- Language :
- English
- ISSN :
- 00219002
- Volume :
- 61
- Issue :
- 4
- Database :
- Complementary Index
- Journal :
- Journal of Applied Probability
- Publication Type :
- Academic Journal
- Accession number :
- 180753287
- Full Text :
- https://doi.org/10.1017/jpr.2024.17