Por favor, use este identificador para citar o enlazar este ítem:
http://cimat.repositorioinstitucional.mx/jspui/handle/1008/599| A Wiener-Hopf Monte Carlo Simulation Technique for Lévy Processes | |
| JUAN CARLOS PARDO MILLAN | |
| Acceso Abierto | |
| Atribución-NoComercial | |
| Procesos de Levy | |
| W e develop a new method for simulating the joint law of the position and running maximum at a fixed time of a general L ́evy process with a view to application in insurance and financial mathematics. Although different, our method takes lessons from Carr’s so-called ‘Canadization’ technique as well as Doney’s method of stochas- tic bounds for L ́evy processes; see Carr [6] and Doney [8]. We rely fundamentally on the Wiener-Hopf decomposition for L ́evy processes as well as taking advantage of recent developments in factorisation techniques of the latter theory due to Vigon [20] and Kuznetsov [11]. We illustrate our Wiener-Hopf Monte Carlo method on a number of different processes, including a new family of L ́evy processes called hypergeometric L ́evy processes. | |
| Centro de Investigación en Matemáticas AC | |
| 11-01-2010 | |
| Reporte | |
| Inglés | |
| Investigadores | |
| PROCESOS DE MARKOV | |
| Versión publicada | |
| publishedVersion - Versión publicada | |
| Aparece en las colecciones: | Reportes Técnicos - Probabilidad y Estadística |
Cargar archivos:
| Fichero | Tamaño | Formato | |
|---|---|---|---|
| I-10-01.pdf | 523.89 kB | Adobe PDF | Visualizar/Abrir |