Gamma Related Ornstein-Uhlenbeck Processes and their Simulation

Autor:	Petroni, Nicola Cufaro, Sabino, Piergiacomo
Rok vydání:	2020
Předmět:	Mathematics - Probability Quantitative Finance - Computational Finance 60-08 60J75 62P05 91B70
Zdroj:	Journal of Statistical Computation and Simulation, 2020
Druh dokumentu:	Working Paper
DOI:	10.1080/00949655.2020.1842408
Popis:	We investigate the distributional properties of two generalized Ornstein-Uhlenbeck (OU) processes whose stationary distributions are the gamma law and the bilateral gamma law, respectively. The said distributions turn out to be related to the self-decomposable gamma and bilateral gamma laws, and their densities and characteristic functions are here given in closed-form. Algorithms for the exact generation of such processes are accordingly derived with the advantage of being significantly faster than those available in the literature and therefore suitable for real-time simulations. Comment: 27 pages, 2 figures, 4 tables. arXiv admin note: substantial text overlap with arXiv:1908.03137
Databáze:	arXiv
Externí odkaz:	http://arxiv.org/abs/2003.08810 Zobrazit plný text záznamu View this record from Arxiv