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Simulation of stochastic integrals with respect to Levy processes of type G

Wiktorsson, Magnus LU (2002) In Stochastic Processes and their Applications 101(1). p.113-125
Abstract
We study the simulation of stochastic processes defined as stochastic integrals with respect to type G Levy processes for the case where it is not possible to simulate the type G process exactly. The type G Levy process as well as the stochastic integral can on compact intervals be represented as an infinite series. In a practical simulation we must truncate this representation. We examine the approximation of the remaining terms with a simpler process to get an approximation of the stochastic integral. We also show that a stochastic time change representation can be used to obtain an approximation of stochastic integrals with respect to type G Levy processes provided that the integrator and the integrand are independent.
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author
organization
publishing date
type
Contribution to journal
publication status
published
subject
keywords
stochastic time change, type G distribution, variance mixture, Levy, process, subordination, stochastic integral, shot noise representation
in
Stochastic Processes and their Applications
volume
101
issue
1
pages
113 - 125
publisher
Elsevier
external identifiers
  • wos:000177808900005
ISSN
1879-209X
DOI
10.1016/S0304-4149(02)00123-0
language
English
LU publication?
yes
id
8368a4aa-0421-4132-9bea-b9c55531469d (old id 328679)
date added to LUP
2016-04-01 15:40:47
date last changed
2018-11-21 20:35:45
@article{8368a4aa-0421-4132-9bea-b9c55531469d,
  abstract     = {{We study the simulation of stochastic processes defined as stochastic integrals with respect to type G Levy processes for the case where it is not possible to simulate the type G process exactly. The type G Levy process as well as the stochastic integral can on compact intervals be represented as an infinite series. In a practical simulation we must truncate this representation. We examine the approximation of the remaining terms with a simpler process to get an approximation of the stochastic integral. We also show that a stochastic time change representation can be used to obtain an approximation of stochastic integrals with respect to type G Levy processes provided that the integrator and the integrand are independent.}},
  author       = {{Wiktorsson, Magnus}},
  issn         = {{1879-209X}},
  keywords     = {{stochastic time change; type G distribution; variance mixture; Levy; process; subordination; stochastic integral; shot noise representation}},
  language     = {{eng}},
  number       = {{1}},
  pages        = {{113--125}},
  publisher    = {{Elsevier}},
  series       = {{Stochastic Processes and their Applications}},
  title        = {{Simulation of stochastic integrals with respect to Levy processes of type G}},
  url          = {{http://dx.doi.org/10.1016/S0304-4149(02)00123-0}},
  doi          = {{10.1016/S0304-4149(02)00123-0}},
  volume       = {{101}},
  year         = {{2002}},
}