On the simulation of general tempered stable Ornstein–Uhlenbeck processes

@article{Grabchak2019OnTS,
  title={On the simulation of general tempered stable Ornstein–Uhlenbeck processes},
  author={Michael Grabchak},
  journal={Journal of Statistical Computation and Simulation},
  year={2019},
  volume={90},
  pages={1057 - 1081}
}
  • M. Grabchak
  • Published 15 April 2019
  • Mathematics
  • Journal of Statistical Computation and Simulation
ABSTRACT We give an explicit representation for the transition law of a tempered stable Ornstein–Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to general classes of both univariate and multivariate tempered stable distributions and contain a number of previously studied results as special cases. 

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