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http://bura.brunel.ac.uk/handle/2438/19346Full metadata record
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Dassios, A | - |
| dc.contributor.author | Lim, JW | - |
| dc.contributor.author | Qu, Y | - |
| dc.date.accessioned | 2019-10-18T13:35:58Z | - |
| dc.date.available | 2019-10-18T13:35:58Z | - |
| dc.date.issued | 2020-05-31 | - |
| dc.identifier | 17 | - |
| dc.identifier.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. | en_US |
| dc.identifier.issn | 1049-3301 | - |
| dc.identifier.uri | https://bura.brunel.ac.uk/handle/2438/19346 | - |
| dc.format.extent | 1 - 17 | - |
| dc.format.medium | Print-Electronic | - |
| dc.language.iso | en | en_US |
| dc.rights | 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 | - |
| dc.subject | Monte Carlo simulation | en_US |
| dc.subject | exact simulation | en_US |
| dc.subject | marked renewal representation | en_US |
| dc.subject | stable process | en_US |
| dc.subject | truncated stableprocess | en_US |
| dc.subject | truncated tempered stable process | en_US |
| dc.subject | two-sided truncated Lévy process | en_US |
| dc.subject | Brownian motion subordination | en_US |
| dc.subject | Lévy driven Ornstein-Uhlenbeck process | en_US |
| dc.title | Exact Simulation of Truncated Levy Subordinator | en_US |
| dc.type | Article | en_US |
| dc.identifier.doi | https://doi.org/10.1145/3368088 | - |
| dc.relation.isPartOf | ACM Transactions on Modeling and Computer Simulation | - |
| pubs.issue | 3 | - |
| pubs.publication-status | Published | - |
| pubs.volume | 30 | - |
| 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 |
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