Advanced

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.
Please use this url to cite or link to this publication:
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
2007-11-19 13:38:51
date last changed
2016-04-16 03:13:24
@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},
  keyword      = {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},
  volume       = {101},
  year         = {2002},
}