Rejection Sampling for Tempered Levy Processes

Abstract

We extend the idea of tempering stable Levy processes to tempering more general classes of Levy processes. We show that the original process can be decomposed into the sum of the tempered process and an independent point process of large jumps. We then use this to set up a rejection sampling algorithm for sampling from the tempered process. A small scale simulation study is given to help understand the performance of this algorithm.

References in corpus (1)

• Tempered stable distributions and processes

Cited by in corpus (4)

• On the Simulation of General Tempered Stable Ornstein-Uhlenbeck Processes
• Simulation of the drawdown and its duration in Lévy models via stick-breaking Gaussian approximation
• Monte Carlo algorithm for the extrema of tempered stable processes
• Tempered stable distributions and finite variation Ornstein-Uhlenbeck processes