Simulation methods and error analysis for trawl processes and ambit fields
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Published version
Author(s)
Leonte, Dan
Veraart, Almut
Type
Journal Article
Abstract
Trawl processes are continuous-time, stationary and infinitely divisible processes which can describe a wide range of possible serial correlation patterns in data. In this paper, we introduce new simulation algorithms for trawl processes with monotonic trawl functions and establish their error bounds and convergence properties. We extensively analyse the computational complexity and practical implementation of these algorithms and discuss which one to use depending on the type of Lévy basis. We extend the above methodology to the simulation of kernel-weighted, volatility modulated trawl processes and develop a new simulation algorithm for ambit fields. Finally, we discuss how simulation schemes previously described in the literature can be combined with our methods for decreased computational cost.
Date Issued
2024-01
Date Acceptance
2023-07-21
Citation
Mathematics and Computers in Simulation, 2024, 215, pp.518-542
ISSN
0378-4754
Publisher
Elsevier
Start Page
518
End Page
542
Journal / Book Title
Mathematics and Computers in Simulation
Volume
215
Copyright Statement
© 2023 The Authors. Published by Elsevier B.V. on behalf of International Association for Mathematics and Computers in Simulation (IMACS). Journal Pre-proof available open access under CC-BY Licence (https://creativecommons.org/licenses/by/4.0/)
License URL
Identifier
https://www.sciencedirect.com/science/article/pii/S0378475423002987
Publication Status
Published
Date Publish Online
2023-08-12