Stochastic simulation of TS-OU processes
Shibin Zhang · Journal of Shanghai, Maritime University · 2006
With Rosinski series' representation of a type of stochastic integral and the structural character of the OU type process driven by compound Poisson process,the method to simulate different parts of the TS-OU process is provided.In terms of the Markovian property and homogeneity of the TS-OU process,the simulating programs in R language are given.By the density function of the inverse Gaussian distribution,the simulation of the initial stationary distribution is evidenced.By the auto-correlation function of the TS-OU process,its simulated path is also evidenced.