Levy Process Simulation by Stochastic Step Functions
نویسندگان
چکیده
منابع مشابه
Levy Process Simulation by Stochastic Step Functions
We study a Monte Carlo algorithm for simulation of probability distributions based on stochastic step functions, and compare to the traditional Metropolis/Hastings method. Unlike the latter, the step function algorithm can produce an uncorrelated Markov chain. We apply this method to the simulation of Levy processes, for which simulation of uncorrelated jumps are essential. We perform numerical...
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ژورنال
عنوان ژورنال: SIAM Journal on Scientific Computing
سال: 2013
ISSN: 1064-8275,1095-7197
DOI: 10.1137/110851080