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2 results

  • Approximating Multivariate Tempered Stable Processes

  • Part of
  • Boris Baeumer, Mihály Kovács
  • Journal:
    Journal of Applied Probability / Volume 49 / Issue 1 / March 2012
    Published online by Cambridge University Press:
    04 February 2016, pp. 167-183
    Print publication:
    March 2012
    • Article
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  • We give a simple method to approximate multidimensional exponentially tempered stable processes and show that the approximating process converges in the Skorokhod topology to the tempered process. The approximation is based on the generation of a random angle and a random variable with a lower-dimensional Lévy measure. We then show that if an arbitrarily small normal random variable is added, the marginal densities converge uniformly at an almost linear rate, providing a critical tool to assess the performance of existing particle tracking codes.