Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes - MediaSpace - Università degli Studi di Padova

Lecture 6.2: Levy-Processes and non-Gaussian Ornstein-Uhlenbeck processes

From Tiziano Vargiolu

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Simulation of Poisson and compound Poisson processes.
Simulation of subordinated Brownian motion and non-Gaussian Ornstein-Uhlenbeck processes.

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