A remark on exact simulation of tempered stable Ornstein–Uhlenbeck processes

IF 0.7 4区数学 Q3 STATISTICS & PROBABILITY

Journal of Applied Probability Pub Date : 2024-05-02 DOI:10.1017/jpr.2024.17

Takuji Arai, Yuto Imai

引用次数: 0

Abstract

Qu, Dassios, and Zhao (2021) suggested an exact simulation method for tempered stable Ornstein–Uhlenbeck processes, but their algorithms contain some errors. This short note aims to correct their algorithms and conduct some numerical experiments.

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关于回火稳定奥恩斯坦-乌伦贝克过程精确模拟的评论

Qu、Dassios 和 Zhao（2021 年）提出了回火稳定奥恩斯坦-乌伦贝克过程的精确模拟方法，但他们的算法包含一些错误。这篇短文旨在纠正他们的算法，并进行一些数值实验。

本文章由计算机程序翻译，如有差异，请以英文原文为准。

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来源期刊

Journal of Applied Probability 数学-统计学与概率论

CiteScore

1.50

自引率

10.00%

发文量

审稿时长

6-12 weeks

期刊介绍： Journal of Applied Probability is the oldest journal devoted to the publication of research in the field of applied probability. It is an international journal published by the Applied Probability Trust, and it serves as a companion publication to the Advances in Applied Probability. Its wide audience includes leading researchers across the entire spectrum of applied probability, including biosciences applications, operations research, telecommunications, computer science, engineering, epidemiology, financial mathematics, the physical and social sciences, and any field where stochastic modeling is used. A submission to Applied Probability represents a submission that may, at the Editor-in-Chief’s discretion, appear in either the Journal of Applied Probability or the Advances in Applied Probability. Typically, shorter papers appear in the Journal, with longer contributions appearing in the Advances.