Simulation of supOU processes with specified marginal distribution and correlation function
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.
Fields of Study & Subjects
Stochastic processes and financial applications
Financial Risk and Volatility Modeling
Probability and Risk Models
Publication details
- Journal / source
- Modern Stochastics Theory and Applications
- Publisher
- VTeX
- Pages
- 225–254
- Publication date
- 1 January 2026
- Language
- EN