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Fast Exact Simulation of the First Passage of a Tempered Stable Subordinator Across a Non-Increasing Function (2024)

First Author: González Cázares J

Attributed to: DMS-EPSRC: Fast martingales, large deviations and randomised gradients for heavy-tailed target distributions funded by EPSRC

Abstract

No abstract provided

Bibliographic Information

Digital Object Identifier: http://dx.doi.org/10.1287/stsy.2023.0014

Publication URI: http://dx.doi.org/10.1287/stsy.2023.0014

Type: Journal Article/Review

Parent Publication: Stochastic Systems