Simulation of Lévy-driven Ornstein-Uhlenbeck processes with given marginal distribution
We provide a simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function, completely circumvent problems encountered when trying to reproduce small jumps of Lévy processes. We provide error bounds for our procedure and asses numerically its performance.
|Date of creation:||Nov 2007|
|Date of revision:||23 May 2007|
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- Ole E. Barndorff-Nielsen & Neil Shephard, 2001. "Non-Gaussian Ornstein-Uhlenbeck-based models and some of their uses in financial economics," Journal of the Royal Statistical Society Series B, Royal Statistical Society, vol. 63(2), pages 167-241.
- Ole E. Barndorff-Nielsen, 2003. "Integrated OU Processes and Non-Gaussian OU-based Stochastic Volatility Models," Scandinavian Journal of Statistics, Danish Society for Theoretical Statistics;Finnish Statistical Society;Norwegian Statistical Association;Swedish Statistical Association, vol. 30(2), pages 277-295.
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