English

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 α\alpha of the subordinator and a scalar zz independent of the barrier. Then three algorithms are devised for different regions of (α,z)(\alpha, z), 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 O(1+ln(1α))O(1+|\ln(1-\alpha)|).

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}
}