Complexity of exact sampling of the first passage of a stable subordinator
Fuente:
arXiv
Guardado en:
| Autor principal: | |
|---|---|
| Formato: | Preprint |
| Publicado: |
2025
|
| Materias: | |
| Acceso en línea: | |
| Etiquetas: |
Agregar Etiqueta
Sin Etiquetas, Sea el primero en etiquetar este registro!
|
| _version_ | 1866909635127017472 |
|---|---|
| author | Chi, Zhiyi |
| author_facet | Chi, Zhiyi |
| contents | We consider the exact sampling of the first passage of a stable subordinator across a non-increasing regular barrier. First, the sampling is reduced to one from a bivariate distribution parameterized by the index $α$ of the subordinator and a scalar $z$ independent of the barrier. Then three algorithms are devised for different regions of $(α, z)$, using the acceptance-rejection method without numerical inversion or integration. When combined, the algorithms allow the exact sampling of the first passage to be done with complexity $O(1+|\ln(1-α)|)$. |
| format | Preprint |
| id |
arxiv_https___arxiv_org_abs_2506_03047 |
| institution | arXiv |
| publishDate | 2025 |
| record_format | arxiv |
| spellingShingle | Complexity of exact sampling of the first passage of a stable subordinator Chi, Zhiyi Computation Primary 60G51, 65C05, Secondary 62E15, 60E07 We consider the exact sampling of the first passage of a stable subordinator across a non-increasing regular barrier. First, the sampling is reduced to one from a bivariate distribution parameterized by the index $α$ of the subordinator and a scalar $z$ independent of the barrier. Then three algorithms are devised for different regions of $(α, z)$, using the acceptance-rejection method without numerical inversion or integration. When combined, the algorithms allow the exact sampling of the first passage to be done with complexity $O(1+|\ln(1-α)|)$. |
| title | Complexity of exact sampling of the first passage of a stable subordinator |
| topic | Computation Primary 60G51, 65C05, Secondary 62E15, 60E07 |
| url | https://arxiv.org/abs/2506.03047 |