On Approximation of Some Lévy Processes
In this paper, we extend the Asmussen-Rosinski approach for the approximation of Levy processes. To simulate the value of the process at time t, we introduce a time-dependent truncation of the Levy measure, which we refer to as dynamic cutting, followed by the simulation of the large-jump componen...
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| Main Authors: | , , |
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| Format: | Article |
| Language: | English |
| Published: |
Austrian Statistical Society
2025-01-01
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| Series: | Austrian Journal of Statistics |
| Online Access: | https://www.ajs.or.at/index.php/ajs/article/view/1991 |
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