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Exact discrete sampling of finite variation tempered stable Ornstein-Uhlenbeck processes

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journal contribution
posted on 19.12.2011, 10:24 by Reiichiro Kawai, Hiroki Masuda
Exact yet simple simulation algorithms are developed for a wide class of Ornstein–Uhlenbeck processes with tempered stable stationary distribution of finite variation with the help of their exact transition probability between consecutive time points. Random elements involved can be divided into independent tempered stable and compound Poisson distributions, each of which can be simulated in the exact sense through acceptance-rejection sampling, respectively, with stable and gamma proposal distributions. We discuss various alternative simulation methods within our algorithms on the basis of acceptance rate in acceptance-rejection sampling for both high- and low-frequency sampling. Numerical results illustrate their advantage relative to the existing approximative simulation method based on infinite shot noise series representation.

History

Citation

Monte Carlo Methods and Applications, 2011, 17 (3), pp. 279-300.

Author affiliation

/Organisation/COLLEGE OF SCIENCE AND ENGINEERING/Department of Mathematics

Version

VoR (Version of Record)

Published in

Monte Carlo Methods and Applications

Publisher

de Gruyter

issn

0929-9629

eissn

1569-3961

Copyright date

2011

Available date

29/08/2012

Publisher version

http://www.reference-global.com/loi/mcma

Language

en