Probability and Stochastic Processes Seminar
Speaker: Michael Grabchak (UNC Charlotte)
Title: On the transition laws of tempered stable OU-processes
Abstract: We derive an explicit representation for the transition law of an Ornstein-Uhlenbeck process with a tempered stable stationary distribution and discuss simulation. Along the way we introduce a rejection sampling approach for the simulation of tempered stable random variables. The idea is based on the fact that we can decompose a stable Levy process into the sum of a tempered stable Levy process and an independent point process of large jumps.
Tuesday, September 28 at 3:00pm to 4:00pm
Ayres Hall, 113
1403 Circle Drive, Knoxville, TN 37996