快速精确模拟一个下属的第一通道事件

IF 1.1 2区数学 Q3 STATISTICS & PROBABILITY

Stochastic Processes and their Applications Pub Date : 2025-02-10 DOI:10.1016/j.spa.2025.104599

Jorge Ignacio González Cázares , Feng Lin , Aleksandar Mijatović

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引用次数: 0

摘要

本文给出了一种精确的模拟算法，该算法是根据一个非递增边界的下级的首次通过时间、过冲和过冲的联合规律进行采样的。该算法适用于应用中大量的非参数类感兴趣的从属对象。我们证明了该算法的运行时间具有所有正阶矩的有限性，并给出了期望运行时间的明确界。这个边界提供了性能保证，使我们的算法适用于蒙特卡罗估计。

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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Fast exact simulation of the first-passage event of a subordinator

This paper provides an exact simulation algorithm for the sampling from the joint law of the first-passage time, the undershoot and the overshoot of a subordinator crossing a non-increasing boundary. The algorithm applies to a large non-parametric class of subordinators of interest in applications. We prove that the running time of this algorithm has finite moments of all positive orders and give an explicit bound on the expected running time in terms of the Lévy measure of the subordinator. This bound provides performance guarantees that make our algorithm suitable for Monte Carlo estimation.

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来源期刊

Stochastic Processes and their Applications 数学-统计学与概率论

CiteScore

2.90

自引率

7.10%

发文量

180

审稿时长

23.6 weeks

期刊介绍： Stochastic Processes and their Applications publishes papers on the theory and applications of stochastic processes. It is concerned with concepts and techniques, and is oriented towards a broad spectrum of mathematical, scientific and engineering interests. Characterization, structural properties, inference and control of stochastic processes are covered. The journal is exacting and scholarly in its standards. Every effort is made to promote innovation, vitality, and communication between disciplines. All papers are refereed.