7 papers
Efficient Simulation of -Tempered -Stable OU Processes
Michael Grabchak, Piergiacomo Sabino
We develop efficient methods for simulating processes of Ornstein-Uhlenbeck type related to the class of -tempered -stable ($\ts$) distributions. Our results hold for both th…
A Zero-One Law for Markov Chains
Michael Grabchak, Isaac Sonin
We prove an analog of the classical Zero-One Law for both homogeneous and nonhomogeneous Markov chains (MC). Its almost precise formulation is simple: given any event from the…
An Exact Method For Simulating Rapidly Decreasing Tempered Stable Distributions
Michael Grabchak
Rapidly decreasing tempered stable distributions are useful models for financial applications. However, there has been no exact method for simulation available in the literature. W…
On the Transition Laws of -Tempered -Stable OU-Processes
Michael Grabchak
We derive an explicit representation for the transition law of a -tempered -stable process of Ornstein-Uhlenbeck-type and use it to develop a methodology for simulation. Our…
On the Simulation of General Tempered Stable Ornstein-Uhlenbeck Processes
Michael Grabchak
We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation…
On the occupancy problem for a regime switching model
Michael Grabchak, Mark Kelbert, Quentin Paris
This article studies the expected occupancy probabilities on an alphabet. Unlike the standard situation, where observations are assumed to be independent and identically distribute…