Related papers: Rejection Sampling for Tempered Levy Processes
We provide asymptotic results and develop high frequency statistical procedures for time-changed L\'evy processes sampled at random instants. The sampling times are given by first hitting times of symmetric barriers whose distance with…
A method is developed to estimate the parameters of a Levy copula of a discretely observed bivariate compound Poisson process without knowledge of common shocks. The method is tested in a small sample simulation study. Also, the method is…
We characterize the class of exchangeable Feller processes evolving on partitions with boundedly many blocks. In continuous-time, the jump measure decomposes into two parts: a $\sigma$-finite measure on stochastic matrices and a collection…
Rejection Sampling is a fundamental Monte-Carlo method. It is used to sample from distributions admitting a probability density function which can be evaluated exactly at any given point, albeit at a high computational cost. However,…
For given two standard processes with no positive jumps, we construct, using the excursion theory, a Markov process whose positive and negative motions have the same law as the two processes. The resulting process is a generalization of…
We discuss the Gamma Levy process, including path properties, the inverse process, integrability, and its spin-offs obtained by compounding, exponentiation, and other operations; further extendable to arbitrary sigma-finite continuous Borel…
Large deviation principles are established for the Fleming-Viot processes with neutral mutation and selection, and the corresponding equilibrium measures as the sampling rate goes to 0. All results are first proved for the finite allele…
Which Levy processes satisfy Hunt's hypothesis (H) is a long-standing open problem in probabilistic potential theory. The study of this problem for one-dimensional Levy processes suggests us to consider (H) from the point of view of the sum…
Continuous-time stochastic systems have attracted a lot of attention recently, due to their wide-spread use in finance for modelling price-dynamics. More recently models taking into accounts shocks have been developed by assuming that the…
Two different ways of trimming the sample path of a stochastic process in D[0, 1]: global ("trim as you go") trimming and record time ("lookback") trimming are analysed to find conditions for the corresponding operators to be continuous…
Inverse transform sampling is an exceptionally general method to generate non-uniform-distributed random numbers, but can be rather unstable when simulating extremely truncated distributions. Many famous probability models share a property…
This paper presents an algorithm for sampling random variables that allows to separation of the sampling process into subproblems by dividing the sample space into overlapping parts. The subproblems can be solved independently of each other…
In the note we consider an iterative generalisation of the rejection sampling method. In high energy physics, this sampling is frequently used for event generation, i.e. preparation of phase space points distributed according to a matrix…
A variant of the parallel tempering method is proposed in terms of a stochastic switching process for the coupled dynamics of replica configuration and temperature permutation. This formulation is shown to facilitate the analysis of the…
Rejection sampling is a popular method used to generate numbers that follow some given distribution. We study the use of this method to generate random numbers in the unit interval from increasing probability density functions. We focus on…
We study sums of independent and identically distributed random velocities in special relativity. We show that the resulting one-dimensional velocity distributions are not only stable under relativistic velocity addition but define a…
We address the generic problem of extracting the scaling exponents of a stationary, self-affine process realised by a timeseries of finite length, where information about the process is not known a priori. Estimating the scaling exponents…
We study an optimal multiple stopping problem for call-type payoff driven by a spectrally negative Levy process. The stopping times are separated by constant refraction times, and the discount rate can be positive or negative. The…
In this paper the modification of the method conventionally used for the modeling of the massive fermions production and decays is proposed. The step by step algorithm is presented. Under the strict conditions the proposed method of…
We present a new and easy-to-implement sequential sampling method for CGMY processes with either finite or infinite variation, exploiting the time change representation of the CGMY model and a decomposition of its time change. We find that…