Gamma Related Ornstein-Uhlenbeck Processes and their Simulation

Nicola Cufaro Petroni and Piergiacomo Sabino

Papers from arXiv.org

Abstract: We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to the self-decomposable gamma and bilateral gamma laws, and their densities and characteristic functions are here given in closed-form. Algorithms for the exact generation of such processes are accordingly derived with the advantage of being significantly faster than those available in the literature and therefore suitable for real-time simulations.

Date: 2020-03
New Economics Papers: this item is included in nep-cmp
References: View references in EconPapers View complete reference list from CitEc
Citations: View citations in EconPapers (6)

Published in Journal of Statistical Computation and Simulation, 2020

Downloads: (external link)
http://arxiv.org/pdf/2003.08810 Latest version (application/pdf)

Related works:
This item may be available elsewhere in EconPapers: Search for items with the same title.

Export reference: BibTeX RIS (EndNote, ProCite, RefMan) HTML/Text

Persistent link: https://EconPapers.repec.org/RePEc:arx:papers:2003.08810

Access Statistics for this paper

More papers in Papers from arXiv.org
Bibliographic data for series maintained by arXiv administrators ().