Remarks on Lévy Process Simulation

Søren Asmussen ()
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Søren Asmussen: Aarhus University, Department of Mathematics

A chapter in Advances in Modeling and Simulation, 2022, pp 21-40 from Springer

Abstract: Abstract Algorithms for simulation of a Lévy process X(t) are discussed, with particular emphasis on two algorithms approximating jumps that are in some sense small. One is classical, defining small jumps as those of absolute value $${

Keywords: Acceptance-rejection; Complete monotonicity; Conditional Monte Carlo; Lévy measure; Tempered stable process (search for similar items in EconPapers)
Date: 2022
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Persistent link: https://EconPapers.repec.org/RePEc:spr:sprchp:978-3-031-10193-9_2

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DOI: 10.1007/978-3-031-10193-9_2

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