Abstract
The problem of simulation of multivariate Lévy processes is investigated. A method based on generalized shot noise series representations of Lévy processes combined with Gaussian approximation of the remainder is established in full generality. This method is applied to multivariate stable and tempered stable processes and formulae for their approximate simulation are obtained.
Citation
Serge Cohen. Jan Rosinski. "Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes." Bernoulli 13 (1) 195 - 210, February 2007. https://doi.org/10.3150/07-BEJ6011
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