Simulation of Lvy-driven Ornstein-Uhlenbeck processes with given marginal distribution

A simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution is provided. The method proposed, based on inversion of the characteristic function, completely circumvents the problems encountered when trying to reproduce small jumps of Lvy processes. Error bounds for the proposed procedure are provided and its performance is numerically assessed.

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Year of publication:	2009
Authors:	Taufer, Emanuele ; Leonenko, Nikolai
Published in:	Computational Statistics & Data Analysis. - Elsevier, ISSN 0167-9473. - Vol. 53.2009, 6, p. 2427-2437
Publisher:	Elsevier

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Type of publication:	Article
Source:	RePEc - Research Papers in Economics

Persistent link: https://www.econbiz.de/10005118307