Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution

Authors:
Emanuele Taufer;Nikolai Leonenko
Affiliations:
Department of Computer and Management Sciences, University of Trento, Via Inama 5, 38100 Trento, Italy;School of Mathematics, University of Cardiff, Cardiff, United Kingdom
Venue:
Computational Statistics & Data Analysis
Year:
2009

Citing 2
Cited 3

Regular Article: Algebraic Properties of Beta and Gamma Distributions, and Applications

Advances in Applied Mathematics
Error Bounds for Numerical Inversion of a Probability Characteristic Function

SIAM Journal on Numerical Analysis

Characteristic function estimation of Ornstein-Uhlenbeck-based stochastic volatility models

Computational Statistics & Data Analysis
Characteristic function-based hypothesis tests under weak dependence

Journal of Multivariate Analysis
Indirect inference methods for stochastic volatility models based on non-Gaussian Ornstein-Uhlenbeck processes

Computational Statistics & Data Analysis

Quantified Score

Hi-index	0.03

Visualization

Abstract

A simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution is provided. The method proposed, based on inversion of the characteristic function, completely circumvents the problems encountered when trying to reproduce small jumps of Levy processes. Error bounds for the proposed procedure are provided and its performance is numerically assessed.