Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
نویسندگان
چکیده
منابع مشابه
Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered and operator stable processes
Problem of simulation of multivariate Lévy processes is investigated. The method based on shot noise series expansions of such processes combined with Gaussian approximation of the remainder is established in full generality. Formulas that can be used for simulation of tempered stable, operator stable and other multivariate processes are obtained. Key-words: Lévy processes, Gaussian approximati...
متن کاملGaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
The problem of simulation of multivariate Lévy processes is investigated. A method based on generalized shot noise series representations of Lévy processes combined with Gaussian approximation of the remainder is established in full generality. This method is applied to multivariate stable and tempered stable processes and formulas for their approximate simulation are obtained. Key-words: Lévy ...
متن کاملApproximating Multivariate Tempered Stable Processes
Abstract. We give a simple method to approximate multidimensional exponentially tempered stable processes and show that the approximating process converges in the Skorokhod topology to the tempered process. The approximation is based on the generation of a random angle and a random variable with a lower dimensional Lévy measure. We then show that if an arbitrarily small normal random variable i...
متن کاملGeneralized Tempered Stable Processes
This work introduces the class of generalized tempered stable processes which encompass variations on tempered stable processes that have been introduced in the field, including “modified tempered stable processes [8],” “layered stable processes [6],” and “Lamperti stable processes [3].” Short and long time behavior of GTS Lévy processes is characterized and the absolute continuity of GTS proce...
متن کاملTempered Stable Distributions and Processes
We investigate the class of tempered stable distributions and their associated processes. Our analysis of tempered stable distributions includes limit distributions, parameter estimation and the study of their densities. Regarding tempered stable processes, we deal with density transformations and compute their p-variation indices. Exponential stock models driven by tempered stable processes ar...
متن کاملذخیره در منابع من
با ذخیره ی این منبع در منابع من، دسترسی به آن را برای استفاده های بعدی آسان تر کنید
ژورنال
عنوان ژورنال: Bernoulli
سال: 2007
ISSN: 1350-7265
DOI: 10.3150/07-bej6011