A Monte Carlo algorithm for multiple stochastic integrals of stable processes-Reference-Cited by-同舟云学术

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A Monte Carlo algorithm for multiple stochastic integrals of stable processes

Published:2022-12 Issue:08 Volume:22 Page:
ISSN:0219-4937
Container-title:Stochastics and Dynamics
language:en
Short-container-title:Stoch. Dyn.

Author:

Das Anirban¹,Denker Manfred²^ORCID,Levina Anna³,Tabacu Lucia⁴

Affiliation:

1. Department of Mathematics, The Pennsylvania State University, University Park, State College PA 16802, USA

2. Institut für Mathematische Stochastik, University of Göttingen, Goldschmidtstr.7, 37077 Göttingen, Germany

3. Computer Science Department, Tübingen University, Maria-von-Linden 6, 72076 Tübingen, Germany

4. Department of Mathematics and Statistics, 2300 Engineering and Computational Sciences Building, Old Dominion University, Norfolk, VA 23529, USA

Abstract

In this paper, we provide a Monte Carlo method to calculate multiple stochastic integrals which is based on a.s. distributional convergence.

Publisher

World Scientific Pub Co Pte Ltd

Subject

Modeling and Simulation

Link

https://www.worldscientific.com/doi/pdf/10.1142/S0219493722400391

Reference10 articles.

1. A universal result in almost sure central limit theory

2. Resampling U-statistics using p-stable laws

3. Pseudorandom numbers for conformal measures

4. A Class of Statistics with Asymptotically Normal Distribution

5. Almost sure limit theorems for U-statistics

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