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06/12/2023
Fast exact simulation of the first-passage event of a subordinator
This paper provides an exact simulation algorithm for the sampling from ...
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03/21/2023
Fast exact simulation of the first passage of a tempered stable subordinator across a non-increasing function
We construct a fast exact algorithm for the simulation of the first-pass...
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04/28/2021
A Gaussian approximation theorem for Lévy processes
Without higher moment assumptions, this note establishes the decay of th...
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03/29/2021
Monte Carlo algorithm for the extrema of tempered stable processes
We develop a novel Monte Carlo algorithm for the vector consisting of th...
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12/22/2020
An algorithm for simulating Brownian increments on a sphere
This paper presents a novel formula for the transition density of the Br...
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10/29/2019
ε-strong simulation of the convex minorants of stable processes and meanders
Using marked Dirichlet processes we characterise the law of the convex m...
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10/25/2018
Geometrically Convergent Simulation of the Extrema of Lévy Processes
We develop a novel Monte Carlo algorithm for the simulation from the joi...
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08/21/2018
Non-asymptotic bounds for sampling algorithms without log-concavity
Discrete time analogues of ergodic stochastic differential equations (SD...
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06/05/2018