On simulation from the marginal distribution of a Student t and generalized hyperbolic Lévy process

@inproceedings{Hubalek2005OnSF,
  title={On simulation from the marginal distribution of a Student t and generalized hyperbolic L{\'e}vy process},
  author={Friedrich Hubalek},
  year={2005}
}
Note that several slightly different parameterizations are used, in particular 2ν instead of ν. It is well-known since [5] that this distribution is infinitely divisible, thus there is a Lévy process X such that X(1) ∼ Tν . While there is a simple elegant one-liner (Bailey’s method), see [2], to simulate from the distribution of X(1), ie Tν , it seems, that… CONTINUE READING