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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

Event Type

Lectures & Presentations

Topic

Science

Audience

Current Students, Faculty & Staff

Department
Mathematics
Contact Name

Maximilian Pechmann

Contact Email

mpechmann@utk.edu

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