On approximations of subordinators in $L^p$ and the simulation of tempered stable distributions

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2025年2月21日

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Michael Grabchak,
Sina Saba

摘要

Subordinators are infinitely divisible distributions on the positive half-line. They are often used as mixing distributions in Poisson mixtures. We show that appropriately scaled Poisson mixtures can approximate the mixing subordinator and we derive a rate of convergence in $L^p$ $L^{p}$ for each $p\in [1,\infty ]$ $p \in [1, \infty]$ . This includes the Kolmogorov and Wasserstein metrics as special cases. As an application, we develop an approach for approximate simulation of the underlying subordinator. In the interest of generality, we present our results in the context of more general mixtures, specifically those that can be represented as differences of randomly stopped Lévy processes. Particular focus is given to the case where the subordinator belongs to the class of tempered stable distributions.

On approximations of subordinators in \(L^p\) and the simulation of tempered stable distributions

摘要