Taufer, Emanuele; Leonenko, Nikolai - Dipartimento di Informatica e Studi Aziendali, … - 2007
We provide a simulation procedure for obtaining discretely observed values of Ornstein-Uhlenbeck processes with given (self-decomposable) marginal distribution. The method proposed, based on inversion of the characteristic function, completely circumvent problems encountered when trying to...