Exact simulation of Ornstein-Uhlenbeck tempered stable processes

Qu, Y; Dassios, A; Zhao, HB

Zhao, HB (corresponding author), Shanghai Univ Finance & Econ, Sch Stat & Management, 777 Guoding Rd, Shanghai 200433, Peoples R China.; Zhao, HB (corresponding author), Shanghai Inst Int Finance & Econ, 777 Guoding Rd, Shanghai 200433, Peoples R China.

JOURNAL OF APPLIED PROBABILITY, 2021; 58 (2): 347

Abstract

There are two types of tempered stable (TS) based Ornstein-Uhlenbeck (OU) processes: (i) the OU-TS process, the OU process driven by a TS subordinator......

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