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

Emanuele Taufer and Nikolai Leonenko

Computational Statistics & Data Analysis, 2009, vol. 53, issue 6, 2427-2437

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 Lvy processes. Error bounds for the proposed procedure are provided and its performance is numerically assessed.

Date: 2009
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Citations: View citations in EconPapers (10)

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