Stable and tempered stable distributions and processes: an overview toward trajectory simulation
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arXiv
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| Format: | Preprint |
| Veröffentlicht: |
2024
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| _version_ | 1866929620578729984 |
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| author | Jalal, Taher |
| author_facet | Jalal, Taher |
| contents | Stable distributions are a celebrated class of probability laws used in various fields. The $α$-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of Lévy processes. Simulating these processes is critical for many applications, yet it remains computationally challenging, due to their infinite jump activity. This survey provides an overview of the key properties of these objects offering a roadmap for practitioners. The first part is a review of the stability property, sampling algorithms are provided along with numerical illustrations. Then CTS processes are presented, with the Baeumer-Meerschaert algorithm for increment simulation, and a computational analysis is provided with numerical illustrations across different time scales. |
| format | Preprint |
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arxiv_https___arxiv_org_abs_2412_06374 |
| institution | arXiv |
| publishDate | 2024 |
| record_format | arxiv |
| spellingShingle | Stable and tempered stable distributions and processes: an overview toward trajectory simulation Jalal, Taher Probability Computation 60G52 (Primary) 60E07, 60-02, 60-08 (Secondary) Stable distributions are a celebrated class of probability laws used in various fields. The $α$-stable process, and its exponentially tempered counterpart, the Classical Tempered Stable (CTS) process, are also prominent examples of Lévy processes. Simulating these processes is critical for many applications, yet it remains computationally challenging, due to their infinite jump activity. This survey provides an overview of the key properties of these objects offering a roadmap for practitioners. The first part is a review of the stability property, sampling algorithms are provided along with numerical illustrations. Then CTS processes are presented, with the Baeumer-Meerschaert algorithm for increment simulation, and a computational analysis is provided with numerical illustrations across different time scales. |
| title | Stable and tempered stable distributions and processes: an overview toward trajectory simulation |
| topic | Probability Computation 60G52 (Primary) 60E07, 60-02, 60-08 (Secondary) |
| url | https://arxiv.org/abs/2412.06374 |