Exact sampling of first passage event of certain symmetric Levy processes with unbounded variation

2016/06/21 by Zhiyi Chi, Chi, Zhiyi
Computer Science · Mathematics · #Bayesian Methods and Mixture Models #FOS: Mathematics #Primary 60G51 #Probability (math.PR) #Random Matrices and Applications #Secondary 60E07 #Stochastic processes and statistical mechanics

paper · pdf · doi:10.48550/arxiv.1606.06411

openalex publication_date 2016/06/21 · openalex created_date 2016/07/22 · openalex updated_date 2026/07/28

Abstract

We show that exact sampling of the first passage event can be done for a Levy process with unbounded variation, if the process can be embedded in a subordinated standard Brownian motion. By sampling a series of first exit events of the Brownian motion and first passage events of the subordinator, the first passage event of interest can be obtained. The sampling of the first exit time and pre-exit location of the Brownian motion may be of independent interest.

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