Exact simulation of the first-passage event of a tempered stable subordinator
Автор: Aleks Mijatović (Prob-AM)
Загружено: 2023-03-14
Просмотров: 165
Описание:
In this video, Jorge describes our new fast exact simulation algorithm for the first-passage event of a tempered stable subordinator.
The presentation is based on our preprint ''Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function'', F. Lin, J. Gonzalez Cazares, A. Mijatovic (March 2023).
arXiv link is here: https://arxiv.org/abs/2303.11964
The presentation used in this video is here:
https://sites.google.com/view/aleks-m...
More info on my webpage: https://sites.google.com/view/aleks-m...
Warwick webpage: https://warwick.ac.uk/fac/sci/statist...
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