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levy-driven-ou

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massimilianotamborrino / shotnoise

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R package for the exact simulation of non-negative shot noise processes and Lévy-driven non-Gaussian Ornstein-Uhlenbeck (OU) processes, in particular OU-Poisson, OU-Gamma and OU-inverse Gaussian processes from the paper by Tamborrino and Lansky, 'Shot noise, weak convergence and diffusion approximations', Physica D, 2021. https://www.sciencedire…

ornstein-uhlenbeck ou-gamma shot-noise-process ou-inverse-gaussian levy-driven-ou
  • Updated Apr 27, 2021
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