Simulation of stochastic integrals with respect to Levy processes of type G
(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.
Please use this url to cite or link to this publication:
https://lup.lub.lu.se/record/328679
- author
- Wiktorsson, Magnus LU
- organization
- publishing date
- 2002
- 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}}, }