Cover Image

Fast exact simulation of the first-passage event of a subordinator

Fuente: arXiv

Saved in:

Bibliographic Details
Main Authors:	Cázares, Jorge Ignacio González, Lin, Feng, Mijatović, Aleksandar
Format:	Preprint
Published:	2023
Subjects:	Probability Computation 60G51, 65C05
Online Access:	Acceder al recurso
Tags:	Add Tag No Tags, Be the first to tag this record!

Similar Items

Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function
by: Cázares, Jorge Ignacio González, et al.
Published: (2023)

Complexity of exact sampling of the first passage of a stable subordinator
by: Chi, Zhiyi
Published: (2025)

Multivariate CLT for Lévy processes: convergence rates without moment assumptions
by: Cázares, Jorge González, et al.
Published: (2025)

Asymptotically optimal Wasserstein couplings for the small-time stable domain of attraction
by: Cázares, Jorge González, et al.
Published: (2024)

A weak MLMC scheme for Lévy-copula-driven SDEs with applications to the pricing of credit, equity and interest rate derivatives
by: Mijatović, Aleksandar, et al.
Published: (2022)

On certain integral functionals of integer-valued subordinators
by: Hu, Dongdong, et al.
Published: (2025)

Higher order approximations in arcsine laws for subordinators
by: Sera, Toru
Published: (2024)

The hybrid exact scheme for the simulation of first-passage times of jump-diffusions with time-dependent thresholds
by: Desmettre, Sascha, et al.
Published: (2025)

A Tail-Respecting Explicit Numerical Scheme for Lévy-Driven SDEs With Superlinear Drifts
by: Aryasova, Olga, et al.
Published: (2025)

On first passage time problems of Brownian motion -- The inverse method of images revisited
by: Christensen, Sören, et al.
Published: (2024)

Lévy Langevin Monte Carlo for sampling from heavy-tailed target distributions
by: Behme, Anita, et al.
Published: (2025)

Functional central limit theorem for superdiffusive SDEs with stable noise
by: Mijatović, Aleksandar, et al.
Published: (2026)

Central Limit Theorem for ergodic averages of Markov chains \& the comparison of sampling algorithms for heavy-tailed distributions
by: Brešar, Miha, et al.
Published: (2025)

Randomised Euler-Maruyama Method for SDEs with Hölder Continuous Drift Coefficient Driven by $α$-stable Lévy Process
by: Bao, Jianhai, et al.
Published: (2025)

Asymptotics of survival probabilities and lower tail probability problem
by: Boyarchenko, Svetlana, et al.
Published: (2025)

Exact simulation of the first-passage time of SDEs to time-dependent thresholds
by: Khurana, Devika, et al.
Published: (2024)

Sampling inverse subordinators and subdiffusions
by: Biočić, Ivan, et al.
Published: (2024)

Thorin processes and their subordination
by: Torricelli, Lorenzo
Published: (2025)

Lévy processes with jumps governed by lower incomplete gamma subordinator and its variations
by: Babulal, Meena Sanjay, et al.
Published: (2023)

Regularity and asymptotics of densities of inverse subordinators
by: Ascione, Giacomo, et al.
Published: (2023)

Rates of convergence for multivariate SDEs driven by Lévy processes in the small-time stable domain of attraction
by: Cázares, Jorge González, et al.
Published: (2025)

Monte Carlo Simulation for Trading Under a Lévy-Driven Mean-Reverting Framework
by: Leung, Tim, et al.
Published: (2023)

Strong uniform Wong--Zakai approximations of Lévy-driven Marcus SDEs
by: Pavlyukevich, Ilya, et al.
Published: (2025)

Sampling schemes of multitype continuous-time Bienaymé-Galton-Watson trees and limiting critical genealogies
by: Hernández, Osvaldo Angtuncio, et al.
Published: (2025)

Stochastic integration with respect to cylindrical Lévy processes in Hilbert spaces
by: Bodó, Gergely, et al.
Published: (2024)

Multitype Lévy trees as scaling limits of multitype Bienaymé-Galton-Watson trees
by: Hernández, Osvaldo Angtuncio, et al.
Published: (2025)

On the speed of convergence of discrete Pickands constants to continuous ones
by: Bisewski, Krzysztof, et al.
Published: (2021)

First-passage time for PDifMPs: an Exact simulation approach for time-varying thresholds
by: Desmettre, Sascha, et al.
Published: (2025)

Derivatives Along a Curve and the Functional Stochastic Calculus
by: Houdré, Christian, et al.
Published: (2026)

Convergence in probability of numerical solutions of a highly non-linear delayed stochastic interest rate model
by: Coffie, Emmanuel
Published: (2025)

Stationary states for stable processes with partial resetting
by: Grzywny, Tomasz, et al.
Published: (2024)

Exact asymptotics of the ruin probability in the Sparre Andersen model
by: Promyslov, Platon
Published: (2026)

Large deviation estimates related to arcsine laws for subordinators
by: Sera, Toru
Published: (2025)

An algorithm for simulating Brownian increments on a sphere
by: Mijatović, Aleksandar, et al.
Published: (2020)

Central limit theorem for superdiffusive reflected Brownian motion
by: Mijatović, Aleksandar, et al.
Published: (2024)

The leftmost particle of branching subordinators
by: Kagan, Alexis, et al.
Published: (2024)

Finitely Dependent Processes on Subshifts
by: Chandgotia, Nishant, et al.
Published: (2026)

Stationary entrance chains and applications to random walks
by: Mijatovic, Aleksandar, et al.
Published: (2024)

Existence of solutions for nonlinear elliptic PDEs with fractional Laplacians on open balls
by: Penent, Guillaume, et al.
Published: (2021)

A Poisson representation of the positive sojourn time of Lévy processes
by: Pitters, Helmut H.
Published: (2025)