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

Emanuele Taufer and Nikolai Leonenko

No 123, Quaderni DISA from Department of Computer and Management Sciences, University of Trento, Italy

Abstract: We provide a simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function, completely circumvent problems encountered when trying to reproduce small jumps of Lévy processes. We provide error bounds for our procedure and asses numerically its performance.

Keywords: ornstein-uhlenbeck process; lévy process; self-decomposable distribution; characteristic function; simulation (search for similar items in EconPapers)
Date: 2007-11, Revised 2007-05-23
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Citations: View citations in EconPapers (2)

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Related works:
Journal Article: Simulation of Lvy-driven Ornstein-Uhlenbeck processes with given marginal distribution (2009)
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