In recent years several techniques for simulating purely discontinuous Lévy processes have been developed. Due to the "infinite activity" character of most Lévy processes the achievement of satisfactory approximations is not a trivial issue. By means of two examples, one related to an optimal storage problem and the other to Bayesian nonparametric inference, the behavior of the so-called inverse Lévy measure algorithm is studied. Some hints for overcoming possible difficulties are given.

A note on the simulation of Levy processes with a view towards applications

PRUENSTER, Igor
2003-01-01

Abstract

In recent years several techniques for simulating purely discontinuous Lévy processes have been developed. Due to the "infinite activity" character of most Lévy processes the achievement of satisfactory approximations is not a trivial issue. By means of two examples, one related to an optimal storage problem and the other to Bayesian nonparametric inference, the behavior of the so-called inverse Lévy measure algorithm is studied. Some hints for overcoming possible difficulties are given.
2003
S.Co. 2003
Treviso
4-6 settembre 2003
Atti del convegno S.Co.2003
Università Ca' Foscari Venezia
188
193
Lévy process; simulation; storage problems; Bayesian nonparametrics.
EPIFANI I; LIJOI A; I. PRUENSTER
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Utilizza questo identificativo per citare o creare un link a questo documento: https://hdl.handle.net/2318/19232
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