On the Simulation of General Tempered Stable Ornstein-Uhlenbeck Processes

preprint2020arXivOpen access

Abstract

We give an explicit representation for the transition law of a tempered stable Ornstein-Uhlenbeck process and use it to develop a rejection sampling algorithm for exact simulation of increments from this process. Our results apply to general classes of both univariate and multivariate tempered stable distributions and contain a number of previously studied results as special cases.

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