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| Main Author: | |
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| Format: | Preprint |
| Published: |
2025
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| Subjects: | |
| Online Access: | https://arxiv.org/abs/2506.03047 |
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Table of 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 $O(1+|\ln(1-α)|)$.