most citedFast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function

4 citations · 6 across the 2 of their papers we have counts for

collaborators

2 papers

math.PR2023★ 2 cited

Fast exact simulation of the first-passage event of a subordinator

Jorge Ignacio González Cázares, Feng Lin, Aleksandar Mijatović

This paper provides an exact simulation algorithm for the sampling from the joint law of the first-passage time, the undershoot and the overshoot of a subordinator crossing a non-i…

math.PR2023★ 4 cited

Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function

Jorge Ignacio González Cázares, Feng Lin, Aleksandar Mijatović

We construct a fast exact algorithm for the simulation of the first-passage time, jointly with the undershoot and overshoot, of a tempered stable subordinator over an arbitrary non…