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Simulation of Lévy-driven Ornstein–Uhlenbeck processes with given marginal distribution
16 references·0 citing·42 second hop
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  • 1990The Variance Gamma (V.G.) Model for Share Market Returns1,470 cited
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  • 1997Normal Inverse Gaussian Distributions and Stochastic Volatility Modelling1,022 cited
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  • 2001Series Representations of Lévy Processes from the Perspective of Point Processes240 cited
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  • 2005The approximate Euler method for Lévy driven stochastic differential equations84 cited
  • 2005Spectral Properties of Uperpositions of Ornstein-Uhlenbeck Type Processes75 cited
  • 2004The Euler scheme for Lévy driven stochastic differential equations: limit theorems

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73 cited
  • 2007Gaussian approximation of multivariate Lévy processes with applications to simulation of tempered stable processes71 cited
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