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Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function
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González Cázares, Jorge Ignacio, Lin, Feng and Mijatović, Aleksandar (2024) Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function. Stochastic Systems . ISSN 1946-5238. (In Press)
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Item Type: | Journal Article | |||||||||||||||
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Subjects: | Q Science > QA Mathematics | |||||||||||||||
Divisions: | Faculty of Science, Engineering and Medicine > Science > Statistics | |||||||||||||||
Library of Congress Subject Headings (LCSH): | Probabilities, Numerical analysis, Insurance -- Mathematics, Lévy processes | |||||||||||||||
Journal or Publication Title: | Stochastic Systems | |||||||||||||||
Publisher: | Institute for Operations Research and the Management Sciences (I N F O R M S) | |||||||||||||||
ISSN: | 1946-5238 | |||||||||||||||
Official Date: | 2024 | |||||||||||||||
Dates: |
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Status: | Peer Reviewed | |||||||||||||||
Publication Status: | In Press | |||||||||||||||
Access rights to Published version: | Open Access (Creative Commons) | |||||||||||||||
Date of first compliant deposit: | 30 April 2024 | |||||||||||||||
Date of first compliant Open Access: | 30 April 2024 | |||||||||||||||
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