Abstract
We present a method of numerical approximation and computer simulation of stable Ornstein-Uhlenbeck processes derived as solutions of linear stochastic differential equations driven by a stable Levy motion and some results on the convergence of this method. Making use of some statistical methods of construction of density estimators and applying computer graphics we get additional interesting quantitative and visual information on the family of stable Ornstein-Uhlenbeck processes that satisfy these equations.
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© 1993 Springer-Verlag New York, Inc.
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Janicki, A., Podgórski, K., Weron, A. (1993). Computer Simulation of α-stable Ornstein-Uhlenbeck Processes. In: Cambanis, S., Ghosh, J.K., Karandikar, R.L., Sen, P.K. (eds) Stochastic Processes. Springer, New York, NY. https://doi.org/10.1007/978-1-4615-7909-0_19
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DOI: https://doi.org/10.1007/978-1-4615-7909-0_19
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