M. Grabchak

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20242026

most citedExact Simulation from Tempered Stable Distributions with Infinite Variation (

α \geq 1

)

1 citations · 1 across the 4 of their papers we have counts for

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math.PR2026★ 1 cited

Exact Simulation from Tempered Stable Distributions with Infinite Variation ( $α \geq 1$ )

Michael Grabchak

We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to $α \in [1, 2)$ .…

math.PR2024

On Approximations of Subordinators in $L^{p}$ and the Simulation of Tempered Stable Distributions

Michael Grabchak, Sina Saba

Subordinators are infinitely divisible distributions on the positive half-line. They are often used as mixing distributions in Poisson mixtures. We show that appropriately scaled P…

Exact Simulation from Tempered Stable Distributions with Infinite Variation (α≥1)

On Approximations of Subordinators in Lp and the Simulation of Tempered Stable Distributions

Exact Simulation from Tempered Stable Distributions with Infinite Variation ( $α \geq 1$ )

On Approximations of Subordinators in $L^{p}$ and the Simulation of Tempered Stable Distributions