Complexity of exact sampling of the first passage of a stable subordinator
Computation
2025-06-04 v1
Abstract
We consider the exact sampling of the first passage of a stable subordinator across a non-increasing regular barrier. First, the sampling is reduced to one from a bivariate distribution parameterized by the index of the subordinator and a scalar independent of the barrier. Then three algorithms are devised for different regions of , using the acceptance-rejection method without numerical inversion or integration. When combined, the algorithms allow the exact sampling of the first passage to be done with complexity .
Keywords
Cite
@article{arxiv.2506.03047,
title = {Complexity of exact sampling of the first passage of a stable subordinator},
author = {Zhiyi Chi},
journal= {arXiv preprint arXiv:2506.03047},
year = {2025}
}