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

We provide a simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function, completely circumvent problems encountered when trying to reproduce small jumps of Lévy processes. We provide error bounds for our procedure and asses numerically its performance.

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Year of publication:	2007-11
Authors:	Taufer, Emanuele ; Leonenko, Nikolai
Institutions:	Dipartimento di Informatica e Studi Aziendali, Università degli Studi di Trento
Subject:	ornstein-uhlenbeck process \| lévy process \| self-decomposable distribution \| characteristic function \| simulation

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Extent:	application/pdf
Series:	Quaderni DISA.
Type of publication:	Book / Working Paper
Notes:	Number 123
Source:	RePEc - Research Papers in Economics

Persistent link: https://ebvufind01.dmz1.zbw.eu/10005036143