On the simulation of general tempered stable Ornstein–Uhlenbeck processes
Michael Grabchak
Abstract
We give an explicit representation for the transition law of a tempered stable Ornstein–Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to general classes of both univariate and multivariate tempered stable distributions and contain a number of previously studied results as special cases.
Topics & Concepts
MathematicsUnivariateMultivariate statisticsApplied mathematicsStability (learning theory)Representation (politics)Sampling (signal processing)Process (computing)Law of large numbersStable distributionStatistical physicsStable processStatisticsLévy processCalculus (dental)Distribution (mathematics)Basis (linear algebra)Probability distributionRandom Matrices and ApplicationsStochastic processes and financial applicationsStochastic processes and statistical mechanics