Exact simulation of Ornstein–Uhlenbeck tempered stable processes

2021 ◽  
Vol 58 (2) ◽  
pp. 347-371
Author(s):  
Yan Qu ◽  
Angelos Dassios ◽  
Hongbiao Zhao
Keyword(s):  
Stochastic Processes ◽  
Financial Engineering ◽  
Numerical Experiments ◽  
Stable Processes ◽  
Simulation Algorithm ◽  
Inverse Gaussian ◽  
Unified Approach ◽  
Important Special Case ◽  
Exact Simulation ◽  
Special Case

AbstractThere 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, and (ii) the TS-OU process, the OU process with TS marginal law. They have various applications in financial engineering and econometrics. In the literature, only the second type under the stationary assumption has an exact simulation algorithm. In this paper we develop a unified approach to exactly simulate both types without the stationary assumption. It is mainly based on the distributional decomposition of stochastic processes with the aid of an acceptance–rejection scheme. As the inverse Gaussian distribution is an important special case of TS distribution, we also provide tailored algorithms for the corresponding OU processes. Numerical experiments and tests are reported to demonstrate the accuracy and effectiveness of our algorithms, and some further extensions are also discussed.

scholarly journals Exact simulation of the extrema of stable processes

2019 ◽  
Vol 51 (4) ◽  
pp. 967-993
Author(s):  
Jorge I. González Cázares ◽  
Aleksandar Mijatović ◽  
Gerónimo Uribe Bravo
Keyword(s):  
Markov Chain ◽  
Finite Time ◽  
Stable Process ◽  
Stable Processes ◽  
Time Interval ◽  
Simulation Algorithm ◽  
Finite Time Interval ◽  
Exact Simulation ◽  
The Past ◽  
Coupling From The Past

AbstractWe exhibit an exact simulation algorithm for the supremum of a stable process over a finite time interval using dominated coupling from the past (DCFTP). We establish a novel perpetuity equation for the supremum (via the representation of the concave majorants of Lévy processes [27]) and use it to construct a Markov chain in the DCFTP algorithm. We prove that the number of steps taken backwards in time before the coalescence is detected is finite. We analyse the performance of the algorithm numerically (the code, written in Julia 1.0, is available on GitHub).

scholarly journals Exact simulation of generalised Vervaat perpetuities

2019 ◽  
Vol 56 (01) ◽  
pp. 57-75 ◽  
Author(s):  
Angelos Dassios ◽  
Yan Qu ◽  
Jia Wei Lim
Keyword(s):  
Numerical Analysis ◽  
General Framework ◽  
Random Variables ◽  
Gamma Process ◽  
Simulation Algorithm ◽  
Decomposition Technique ◽  
Exact Simulation ◽  
Case Examples ◽  
Novel Method ◽  
Special Case

AbstractWe consider a generalised Vervaat perpetuity of the form X = Y1W1 +Y2W1W2 + · · ·, where $W_i \sim {\cal U}^{1/t}$ and (Yi)i≥0 is an independent and identically distributed sequence of random variables independent from (Wi)i≥0. Based on a distributional decomposition technique, we propose a novel method for exactly simulating the generalised Vervaat perpetuity. The general framework relies on the exact simulation of the truncated gamma process, which we develop using a marked renewal representation for its paths. Furthermore, a special case arises when Yi = 1, and X has the generalised Dickman distribution, for which we present an exact simulation algorithm using the marked renewal approach. In particular, this new algorithm is much faster than existing algorithms illustrated in Chi (2012), Cloud and Huber (2017), Devroye and Fawzi (2010), and Fill and Huber (2010), as well as being applicable to the general payments case. Examples and numerical analysis are provided to demonstrate the accuracy and effectiveness of our method.

ON THE DENSITY OF HAUSDORFF DIMENSIONS OF BOUNDED TYPE CONTINUED FRACTION SETS: THE TEXAN CONJECTURE

2004 ◽  
Vol 04 (01) ◽  
pp. 63-76 ◽  
Author(s):  
OLIVER JENKINSON
Keyword(s):  
Hausdorff Dimension ◽  
Finite Subset ◽  
Continued Fraction ◽  
Cantor Set ◽  
Computational Method ◽  
Accurate Approximation ◽  
Natural Numbers ◽  
Important Special Case ◽  
The One ◽  
Special Case

Given a non-empty finite subset A of the natural numbers, let EA denote the set of irrationals x∈[0,1] whose continued fraction digits lie in A. In general, EA is a Cantor set whose Hausdorff dimension dim (EA) is between 0 and 1. It is shown that the set [Formula: see text] intersects [0,1/2] densely. We then describe a method for accurately computing dimensions dim (EA), and employ it to investigate numerically the way in which [Formula: see text] intersects [1/2,1]. These computations tend to support the conjecture, first formulated independently by Hensley, and by Mauldin & Urbański, that [Formula: see text] is dense in [0,1]. In the important special case A={1,2}, we use our computational method to give an accurate approximation of dim (E{1,2}), improving on the one given in [18].

An Elementary Proof of Suslin Reciprocity

2005 ◽  
Vol 48 (2) ◽  
pp. 221-236 ◽  
Author(s):  
Matt Kerr
Keyword(s):  
Elementary Proof ◽  
Function Fields ◽  
Algebraic Cycles ◽  
Important Special Case ◽  
Special Case

AbstractWe state and prove an important special case of Suslin reciprocity that has found significant use in the study of algebraic cycles. An introductory account is provided of the regulator and norm maps on Milnor K2-groups (for function fields) employed in the proof.

Introduction

2020 ◽  
pp. 1-6
Author(s):  
Peter Scholze ◽  
Jared Weinstein
Keyword(s):  
Moduli Spaces ◽  
Function Fields ◽  
Number Fields ◽  
Important Special Case ◽  
Langlands Correspondence ◽  
Key Innovation ◽  
Perfectoid Spaces ◽  
Definition Of ◽  
Special Case

This introductory chapter provides an overview of Drinfeld's work on the global Langlands correspondence over function fields. Whereas the global Langlands correspondence is largely open in the case of number fields K, it is a theorem for function fields, due to Drinfeld and L. Lafforgue. The key innovation in this case is Drinfeld's notion of an X-shtuka (or simply shtuka). The Langlands correspondence for X is obtained by studying moduli spaces of shtukas. A large part of this course is about the definition of perfectoid spaces and diamonds. There is an important special case where the moduli spaces of shtukas are classical rigid-analytic spaces. This is the case of local Shimura varieties. Some examples of these are the Rapoport-Zink spaces.

On the Hyperplane Sections Through two Given Points of an Algebraic Variety

1970 ◽  
Vol 22 (1) ◽  
pp. 128-133 ◽  
Author(s):  
Wei-Eihn Kuan
Keyword(s):  
Simple Proof ◽  
Hyperplane Section ◽  
Rational Points ◽  
Infinite Field ◽  
Important Special Case ◽  
Irreducible Curve ◽  
Irreducible Variety ◽  
Dimension 2 ◽  
Hyperplane Sections ◽  
Special Case

1. Let k be an infinite field and let V/k be an irreducible variety of dimension ≧ 2 in a projective n-space Pn over k. Let P and Q be two k-rational points on V In this paper, we describe ideal-theoretically the generic hyperplane section of V through P and Q (Theorem 1) and prove that the section is almost always an absolutely irreducible variety over k1/pe if V/k is absolutely irreducible (Theorem 3). As an application (Theorem 4), we give a new simple proof of an important special case of the existence of a curve connecting two rational points of an absolutely irreducible variety [4], namely any two k-rational points on V/k can be connected by an irreducible curve.I wish to thank Professor A. Seidenberg for his continued advice and encouragement on my thesis research.

scholarly journals Deception through Half-Truths

2020 ◽  
Vol 34 (06) ◽  
pp. 10110-10117
Author(s):  
Andrew Estornell ◽  
Sanmay Das ◽  
Yevgeniy Vorobeychik
Keyword(s):  
Polynomial Time ◽  
Transition Function ◽  
Np Hard ◽  
Fundamental Issue ◽  
Fake News ◽  
False Information ◽  
Important Special Case ◽  
Bayes Network ◽  
Special Case

Deception is a fundamental issue across a diverse array of settings, from cybersecurity, where decoys (e.g., honeypots) are an important tool, to politics that can feature politically motivated “leaks” and fake news about candidates. Typical considerations of deception view it as providing false information. However, just as important but less frequently studied is a more tacit form where information is strategically hidden or leaked. We consider the problem of how much an adversary can affect a principal's decision by “half-truths”, that is, by masking or hiding bits of information, when the principal is oblivious to the presence of the adversary. The principal's problem can be modeled as one of predicting future states of variables in a dynamic Bayes network, and we show that, while theoretically the principal's decisions can be made arbitrarily bad, the optimal attack is NP-hard to approximate, even under strong assumptions favoring the attacker. However, we also describe an important special case where the dependency of future states on past states is additive, in which we can efficiently compute an approximately optimal attack. Moreover, in networks with a linear transition function we can solve the problem optimally in polynomial time.

The New qd Algorithms

Acta Numerica ◽  
1995 ◽  
Vol 4 ◽  
pp. 459-491 ◽  
Author(s):  
Beresford N. Parlett
Keyword(s):  
Singular Values ◽  
Eigenvalues And Eigenvectors ◽  
Triangular Factorization ◽  
Matrix Computation ◽  
Important Special Case ◽  
Singular Vectors ◽  
Tridiagonal Matrices ◽  
Recent Origin ◽  
Special Case

Let us think about ways to find both eigenvalues and eigenvectors of tridiagonal matrices. An important special case is the computation of singular values and singular vectors of bidiagonal matrices. The discussion is addressed both to specialists in matrix computation and to other scientists whose main interests lie elsewhere. The reason for hoping to communicate with two such diverse sets of readers at the same time is that the content of the survey, though of recent origin, is quite elementary and does not demand familiarity with much beyond triangular factorization and the Gram-Schmidt process for orthogonalizing a set of vectors. For some readers the survey will cover familiar territory but from a novel perspective. The justification for presenting these ideas is that they lead to new variations of current methods that run a lot faster while achieving greater accuracy.

scholarly journals On the number of excursion sets of planar Gaussian fields

2020 ◽  
Vol 178 (3-4) ◽  
pp. 655-698
Author(s):  
Dmitry Beliaev ◽  
Michael McAuley ◽  
Stephen Muirhead
Keyword(s):  
Plane Wave ◽  
Lower Bounds ◽  
Upper And Lower Bounds ◽  
Gaussian Fields ◽  
Important Special Case ◽  
Level Densities ◽  
Excursion Sets ◽  
Nodal Set ◽  
Different Types ◽  
Special Case

Abstract The Nazarov–Sodin constant describes the average number of nodal set components of smooth Gaussian fields on large scales. We generalise this to a functional describing the corresponding number of level set components for arbitrary levels. Using results from Morse theory, we express this functional as an integral over the level densities of different types of critical points, and as a result deduce the absolute continuity of the functional as the level varies. We further give upper and lower bounds showing that the functional is at least bimodal for certain isotropic fields, including the important special case of the random plane wave.

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