Brunel University Research Archive(BURA) preserves and enables easy and open access to all
types of digital content. It showcases Brunel's research outputs.
Research contained within BURA is open access, although some publications may be subject
to publisher imposed embargoes. All awarded PhD theses are also archived on BURA.
Please use this identifier to cite or link to this item:
http://bura.brunel.ac.uk/handle/2438/19346| Title: | Exact Simulation of Truncated Levy Subordinator |
| Authors: | Dassios, A Lim, JW Qu, Y |
| Keywords: | Monte Carlo simulation;exact simulation;marked renewal representation;stable process;truncated stableprocess;truncated tempered stable process;two-sided truncated Lévy process;Brownian motion subordination;Lévy driven Ornstein-Uhlenbeck process |
| Issue Date: | 31-May-2020 |
| Citation: | Dassios, A., Lim, J.W. and Qu, Y. (2020) 'Exact Simulation of Truncated Levy Subordinator', ACM Transactions on Modeling and Computer Simulation, 30 (3), Article No.: 17, pp. 1-17. doi: 10.1145/3368088. |
| URI: | https://bura.brunel.ac.uk/handle/2438/19346 |
| DOI: | https://doi.org/10.1145/3368088 |
| ISSN: | 1049-3301 |
| Other Identifiers: | 17 |
| Appears in Collections: | Dept of Mathematics Research Papers |
Files in This Item:
| File | Description | Size | Format | |
|---|---|---|---|---|
| FullText.pdf | Copyright © ACM, 2020. This is the author's version of the work. It is posted here by permission of ACM for your personal use. Not for redistribution. The definitive version was published in ACM Transactions on Modeling and Computer Simulation, 31 May 2020. https://doi.org/10.1145/3368088 | 793.64 kB | Adobe PDF | View/Open |
Items in BURA are protected by copyright, with all rights reserved, unless otherwise indicated.