Computer Simulation of α-stable Ornstein-Uhlenbeck Processes

A. Janicki, K. Podgórski and A. Weron
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A. Janicki: Technical University of Wrocław, Hugo Steinhaus Center, Institute of Mathematics
K. Podgórski: Technical University of Wrocław, Hugo Steinhaus Center, Institute of Mathematics
A. Weron: Technical University of Wrocław, Hugo Steinhaus Center, Institute of Mathematics

A chapter in Stochastic Processes, 1993, pp 161-170 from Springer

Abstract: Abstract We present a method of numerical approximation and computer simulation of stable Ornstein-Uhlenbeck processes derived as solutions of linear stochastic differential equations driven by a stable Levy motion and some results on the convergence of this method. Making use of some statistical methods of construction of density estimators and applying computer graphics we get additional interesting quantitative and visual information on the family of stable Ornstein-Uhlenbeck processes that satisfy these equations.

Date: 1993
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-1-4615-7909-0_19

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DOI: 10.1007/978-1-4615-7909-0_19

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