Simulation of supOU processes with specified marginal distribution and correlation function

Leonenko, Nikolai N. ORCID: https://orcid.org/0000-0003-1932-4091 and Pepelyshev, Andrey ORCID: https://orcid.org/0000-0001-5634-5559 2026. Simulation of supOU processes with specified marginal distribution and correlation function. Modern Stochastics: Theory and Applications 10.15559/25-VMSTA291

Preview

PDF - Published Version Available under License Creative Commons Attribution. Download (2MB) | Preview

Abstract

An algorithm is proposed for simulation of superpositions of Ornstein–Uhlenbeck processes which may have short- or long-range dependencies and specified marginal distributions. The algorithm is based on the Bondesson–Rosinski representation of the supOU process as a shot-noise process and enables a clear constructive view on the structure of supOU processes. The use of the proposed algorithm is demonstrated for eight positive marginal distributions and eight entire real line marginal distributions when the explicit formulae for the Lévy density are available or not.

Item Type:	Article
Date Type:	Published Online
Status:	In Press
Schools:	Schools > Mathematics
ISSN:	2351-6046
Date of First Compliant Deposit:	8 January 2026
Date of Acceptance:	29 December 2025
Last Modified:	05 Feb 2026 11:28
URI:	https://orca.cardiff.ac.uk/id/eprint/183455

Actions (repository staff only)

Edit Item