Gamma Related Ornstein-Uhlenbeck Processes and their Simulation
Probability
2021-03-25 v1 Computational Finance
Abstract
We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to the self-decomposable gamma and bilateral gamma laws, and their densities and characteristic functions are here given in closed-form. Algorithms for the exact generation of such processes are accordingly derived with the advantage of being significantly faster than those available in the literature and therefore suitable for real-time simulations.
Cite
@article{arxiv.2003.08810,
title = {Gamma Related Ornstein-Uhlenbeck Processes and their Simulation},
author = {Nicola Cufaro Petroni and Piergiacomo Sabino},
journal= {arXiv preprint arXiv:2003.08810},
year = {2021}
}
Comments
27 pages, 2 figures, 4 tables. arXiv admin note: substantial text overlap with arXiv:1908.03137