The problem of simulation of multivariate Lévy processes is investigated. A method based on generalized shot noise series representations of Lévy processes combined with Gaussian approximation of the remainder is established in full generality. This method is applied to multivariate stable and tempered stable processes and formulae for their approximate simulation are obtained.
Publié le : 2007-02-14
Classification:
Gaussian approximation,
Lévy processes,
shot noise series expansions,
simulation,
tempered stable processes
@article{1175287729,
author = {Cohen, Serge and Rosinski, Jan},
title = {Gaussian approximation of multivariate L\'evy processes with applications to simulation of tempered stable processes},
journal = {Bernoulli},
volume = {13},
number = {1},
year = {2007},
pages = { 195-210},
language = {en},
url = {http://dml.mathdoc.fr/item/1175287729}
}
Cohen, Serge; Rosinski, Jan. Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes. Bernoulli, Tome 13 (2007) no. 1, pp. 195-210. http://gdmltest.u-ga.fr/item/1175287729/