Name
Abstract | ||
|---|---|---|
We consider the problem of simulating X conditional on the value of X +Y , when X and Y are independent positive random variables. We propose approximate methods for sampling (X|X+Y) by approximating the fraction (X/z|X+ Y = z) with a beta random variable. We discuss applications to Levy processes and infinitely divisible distributions, and we report numerical tests for Poisson processes, tempered stable processes, and the Heston stochastic volatility model. |
Year | DOI | Venue |
|---|---|---|
2008 | 10.1109/WSC.2008.4736115 | Winter Simulation Conference |
Keywords | Field | DocType |
numerical test,approximate method,bridge sampling,beta random variable,simulating x,vy process,infinitely divisible distribution,beta approximation,independent positive random variable,heston stochastic volatility model,stable process,simulation,mean squared error,random processes,poisson process,levy process,approximation theory,levy processes,random variable,sampling methods | Applied mathematics,Stochastic volatility,Random variable,Simulation,Approximation theory,Stochastic process,Sampling (statistics),Poisson distribution,Lévy process,Statistics,Infinite divisibility,Mathematics | Conference |
ISBN | Citations | PageRank |
978-1-4244-2708-6 | 0 | 0.34 |
References | Authors | |
3 | 2 | |
Name | Order | Citations | PageRank |
|---|---|---|---|
| Paul Glasserman | 1 | 496 | 95.86 |
| Kyoung-kuk Kim | 2 | 0 | 0.34 |