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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