| Title | Simulation of stochastic integrals with respect to Levy processes of type G |
| Authors | Magnus Wiktorsson |
| Alternative Location | http://dx.doi.org/10.1016/S..., Restricted Access |
| Publication | Stochastic Processes and their Applications |
| Year | 2002 |
| Volume | 101 |
| Issue | 1 |
| Pages | 113 - 125 |
| Document type | Article |
| Status | Published |
| Quality controlled | Yes |
| Language | eng |
| Publisher | Elsevier Science B.V. |
| Abstract English | 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. |
| Keywords | stochastic time change, type G distribution, variance mixture, Levy, process, subordination, stochastic integral, shot noise representation, |
| ISBN/ISSN/Other | ISSN: 0304-4149 |
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