2 papers
math.PR2024
On the Simulation of General Multivariate Gamma Distributions using Dickman Approximations
Michael Grabchak, Xingnan Zhang
We derive a Dickman approximation for the small jumps of a large class of multivariate Lévy processes. We then apply this approximation to develop a simulation method for the class…
math.PR2023
Representation and Simulation of Multivariate Dickman Distributions and Vervaat Perpetuities
Michael Grabchak, Xingnan Zhang
A multivariate extension of the Dickman distribution was recently introduced, but very few properties have been studied. We discuss several properties with an emphasis on simulatio…