 Simulation of stochastic integrals with respect to Lévy processes of type GMagnus Wiktorsson Stochastic Processes and their Applications, 2002, vol. 101, issue 1, 113-125 Abstract: We study the simulation of stochastic processes defined as stochastic integrals with respect to type G Lévy processes for the case where it is not possible to simulate the type G process exactly. The type G Lévy process as well as the stochastic integral can on compact intervals be represented as an infinite series. In a practical simulation we must truncate this representation. We examine the approximation of the remaining terms with a simpler process to get an approximation of the stochastic integral. We also show that a stochastic time change representation can be used to obtain an approximation of stochastic integrals with respect to type G Lévy processes provided that the integrator and the integrand are independent. Keywords: Type; G; distribution; Stochastic; integral; Variance; mixture; Lévy; process; Shot; noise; representation; Stochastic; time; change; Subordination (search for similar items in EconPapers) Downloads: (external link) Related works: Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text Persistent link: https://EconPapers.repec.org/RePEc:eee:spapps:v:101:y:2002:i:1:p:113-125 Ordering information: This journal article can be ordered from Access Statistics for this article Stochastic Processes and their Applications is currently edited by T. Mikosch More articles in Stochastic Processes and their Applications from Elsevier |
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