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<p>We derive a Dickman approximation for the small jumps of a large class of multivariate Lévy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A small-scale simulation study suggests that this method works very well.</p>

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On the simulation of general multivariate gamma distributions using Dickman approximations

  • 期刊论文

  • 出版模式：

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  • 发表日期：

    2026年3月28日

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  • Michael Grabchak,
  • Xingnan Zhang

摘要

We derive a Dickman approximation for the small jumps of a large class of multivariate Lévy processes. We then apply this approximation to develop a simulation method for the class of general multivariate gamma distributions (GMGD). A small-scale simulation study suggests that this method works very well.