Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes
نویسندگان
چکیده
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 processes, Gaussian approximation, shot noise series expansions, simulation, tempered stable processes. AMS classification (2000): 60G51, 60G52, 68U20, 60F05.
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...
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