{"id":"https://openalex.org/W2027870341","doi":"https://doi.org/10.1137/110851080","title":"Levy Process Simulation by Stochastic Step Functions","display_name":"Levy Process Simulation by Stochastic Step Functions","publication_year":2013,"publication_date":"2013-01-01","ids":{"openalex":"https://openalex.org/W2027870341","doi":"https://doi.org/10.1137/110851080","mag":"2027870341"},"language":"en","primary_location":{"id":"doi:10.1137/110851080","is_oa":false,"landing_page_url":"https://doi.org/10.1137/110851080","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},"type":"article","indexed_in":["arxiv","crossref"],"open_access":{"is_oa":true,"oa_status":"green","oa_url":"https://arxiv.org/pdf/1110.2367","any_repository_has_fulltext":true},"authorships":[{"author_position":"first","author":{"id":"https://openalex.org/A5064602798","display_name":"Torquil Macdonald S\u00f8rensen","orcid":null},"institutions":[{"id":"https://openalex.org/I184942183","display_name":"University of Oslo","ror":"https://ror.org/01xtthb56","country_code":"NO","type":"education","lineage":["https://openalex.org/I184942183"]}],"countries":["NO"],"is_corresponding":true,"raw_author_name":"Torquil Macdonald S\u00f8rensen","raw_affiliation_strings":["Centre of Mathematics for Applications University of Oslo, NO-0316 Oslo, Norway"],"affiliations":[{"raw_affiliation_string":"Centre of Mathematics for Applications University of Oslo, NO-0316 Oslo, Norway","institution_ids":["https://openalex.org/I184942183"]}]},{"author_position":"last","author":{"id":"https://openalex.org/A5044987464","display_name":"Fred Espen Benth","orcid":"https://orcid.org/0000-0001-9907-6811"},"institutions":[{"id":"https://openalex.org/I184942183","display_name":"University of Oslo","ror":"https://ror.org/01xtthb56","country_code":"NO","type":"education","lineage":["https://openalex.org/I184942183"]}],"countries":["NO"],"is_corresponding":false,"raw_author_name":"Fred Espen Benth","raw_affiliation_strings":["Centre of Mathematics for Applications University of Oslo, NO-0316 Oslo, Norway"],"affiliations":[{"raw_affiliation_string":"Centre of Mathematics for Applications University of Oslo, NO-0316 Oslo, Norway","institution_ids":["https://openalex.org/I184942183"]}]}],"institutions":[],"countries_distinct_count":1,"institutions_distinct_count":2,"corresponding_author_ids":["https://openalex.org/A5064602798"],"corresponding_institution_ids":["https://openalex.org/I184942183"],"apc_list":null,"apc_paid":null,"fwci":0.4322,"has_fulltext":false,"cited_by_count":3,"citation_normalized_percentile":{"value":0.71896486,"is_in_top_1_percent":false,"is_in_top_10_percent":false},"cited_by_percentile_year":{"min":90,"max":94},"biblio":{"volume":"35","issue":"5","first_page":"A2207","last_page":"A2224"},"is_retracted":false,"is_paratext":false,"is_xpac":false,"primary_topic":{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},"topics":[{"id":"https://openalex.org/T10067","display_name":"Stochastic processes and financial applications","score":0.9995999932289124,"subfield":{"id":"https://openalex.org/subfields/2003","display_name":"Finance"},"field":{"id":"https://openalex.org/fields/20","display_name":"Economics, Econometrics and Finance"},"domain":{"id":"https://openalex.org/domains/2","display_name":"Social Sciences"}},{"id":"https://openalex.org/T11152","display_name":"Stochastic processes and statistical mechanics","score":0.9972000122070312,"subfield":{"id":"https://openalex.org/subfields/2610","display_name":"Mathematical Physics"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}},{"id":"https://openalex.org/T12056","display_name":"Markov Chains and Monte Carlo Methods","score":0.9961000084877014,"subfield":{"id":"https://openalex.org/subfields/2613","display_name":"Statistics and Probability"},"field":{"id":"https://openalex.org/fields/26","display_name":"Mathematics"},"domain":{"id":"https://openalex.org/domains/3","display_name":"Physical Sciences"}}],"keywords":[{"id":"https://openalex.org/keywords/mathematics","display_name":"Mathematics","score":0.7065445184707642},{"id":"https://openalex.org/keywords/inverse-gaussian-distribution","display_name":"Inverse Gaussian distribution","score":0.6535003781318665},{"id":"https://openalex.org/keywords/metropolis\u2013hastings-algorithm","display_name":"Metropolis\u2013Hastings algorithm","score":0.5287886261940002},{"id":"https://openalex.org/keywords/gaussian-process","display_name":"Gaussian process","score":0.5219323635101318},{"id":"https://openalex.org/keywords/gaussian","display_name":"Gaussian","score":0.5094380974769592},{"id":"https://openalex.org/keywords/applied-mathematics","display_name":"Applied mathematics","score":0.5093868374824524},{"id":"https://openalex.org/keywords/autocorrelation","display_name":"Autocorrelation","score":0.5037586092948914},{"id":"https://openalex.org/keywords/measure","display_name":"Measure (data warehouse)","score":0.5013880729675293},{"id":"https://openalex.org/keywords/markov-chain-monte-carlo","display_name":"Markov chain Monte Carlo","score":0.4892551898956299},{"id":"https://openalex.org/keywords/l\u00e9vy-process","display_name":"L\u00e9vy process","score":0.4879138171672821},{"id":"https://openalex.org/keywords/statistical-physics","display_name":"Statistical physics","score":0.472662091255188},{"id":"https://openalex.org/keywords/l\u00e9vy-flight","display_name":"L\u00e9vy flight","score":0.45359155535697937},{"id":"https://openalex.org/keywords/markov-chain","display_name":"Markov chain","score":0.44872868061065674},{"id":"https://openalex.org/keywords/monte-carlo-method","display_name":"Monte Carlo method","score":0.41742223501205444},{"id":"https://openalex.org/keywords/distribution","display_name":"Distribution (mathematics)","score":0.35957956314086914},{"id":"https://openalex.org/keywords/computer-science","display_name":"Computer science","score":0.19627591967582703},{"id":"https://openalex.org/keywords/mathematical-analysis","display_name":"Mathematical analysis","score":0.18404057621955872},{"id":"https://openalex.org/keywords/random-walk","display_name":"Random walk","score":0.14616659283638},{"id":"https://openalex.org/keywords/statistics","display_name":"Statistics","score":0.14371219277381897}],"concepts":[{"id":"https://openalex.org/C33923547","wikidata":"https://www.wikidata.org/wiki/Q395","display_name":"Mathematics","level":0,"score":0.7065445184707642},{"id":"https://openalex.org/C132878287","wikidata":"https://www.wikidata.org/wiki/Q1671727","display_name":"Inverse Gaussian distribution","level":3,"score":0.6535003781318665},{"id":"https://openalex.org/C204693719","wikidata":"https://www.wikidata.org/wiki/Q910810","display_name":"Metropolis\u2013Hastings algorithm","level":4,"score":0.5287886261940002},{"id":"https://openalex.org/C61326573","wikidata":"https://www.wikidata.org/wiki/Q1496376","display_name":"Gaussian process","level":3,"score":0.5219323635101318},{"id":"https://openalex.org/C163716315","wikidata":"https://www.wikidata.org/wiki/Q901177","display_name":"Gaussian","level":2,"score":0.5094380974769592},{"id":"https://openalex.org/C28826006","wikidata":"https://www.wikidata.org/wiki/Q33521","display_name":"Applied mathematics","level":1,"score":0.5093868374824524},{"id":"https://openalex.org/C5297727","wikidata":"https://www.wikidata.org/wiki/Q786970","display_name":"Autocorrelation","level":2,"score":0.5037586092948914},{"id":"https://openalex.org/C2780009758","wikidata":"https://www.wikidata.org/wiki/Q6804172","display_name":"Measure (data warehouse)","level":2,"score":0.5013880729675293},{"id":"https://openalex.org/C111350023","wikidata":"https://www.wikidata.org/wiki/Q1191869","display_name":"Markov chain Monte Carlo","level":3,"score":0.4892551898956299},{"id":"https://openalex.org/C88757350","wikidata":"https://www.wikidata.org/wiki/Q1557613","display_name":"L\u00e9vy process","level":2,"score":0.4879138171672821},{"id":"https://openalex.org/C121864883","wikidata":"https://www.wikidata.org/wiki/Q677916","display_name":"Statistical physics","level":1,"score":0.472662091255188},{"id":"https://openalex.org/C118918019","wikidata":"https://www.wikidata.org/wiki/Q4114998","display_name":"L\u00e9vy flight","level":3,"score":0.45359155535697937},{"id":"https://openalex.org/C98763669","wikidata":"https://www.wikidata.org/wiki/Q176645","display_name":"Markov chain","level":2,"score":0.44872868061065674},{"id":"https://openalex.org/C19499675","wikidata":"https://www.wikidata.org/wiki/Q232207","display_name":"Monte Carlo method","level":2,"score":0.41742223501205444},{"id":"https://openalex.org/C110121322","wikidata":"https://www.wikidata.org/wiki/Q865811","display_name":"Distribution (mathematics)","level":2,"score":0.35957956314086914},{"id":"https://openalex.org/C41008148","wikidata":"https://www.wikidata.org/wiki/Q21198","display_name":"Computer science","level":0,"score":0.19627591967582703},{"id":"https://openalex.org/C134306372","wikidata":"https://www.wikidata.org/wiki/Q7754","display_name":"Mathematical analysis","level":1,"score":0.18404057621955872},{"id":"https://openalex.org/C121194460","wikidata":"https://www.wikidata.org/wiki/Q856741","display_name":"Random walk","level":2,"score":0.14616659283638},{"id":"https://openalex.org/C105795698","wikidata":"https://www.wikidata.org/wiki/Q12483","display_name":"Statistics","level":1,"score":0.14371219277381897},{"id":"https://openalex.org/C77088390","wikidata":"https://www.wikidata.org/wiki/Q8513","display_name":"Database","level":1,"score":0.0},{"id":"https://openalex.org/C121332964","wikidata":"https://www.wikidata.org/wiki/Q413","display_name":"Physics","level":0,"score":0.0},{"id":"https://openalex.org/C62520636","wikidata":"https://www.wikidata.org/wiki/Q944","display_name":"Quantum mechanics","level":1,"score":0.0}],"mesh":[],"locations_count":2,"locations":[{"id":"doi:10.1137/110851080","is_oa":false,"landing_page_url":"https://doi.org/10.1137/110851080","pdf_url":null,"source":{"id":"https://openalex.org/S165512578","display_name":"SIAM Journal on Scientific Computing","issn_l":"1064-8275","issn":["1064-8275","1095-7197"],"is_oa":false,"is_in_doaj":false,"is_core":true,"host_organization":"https://openalex.org/P4310320508","host_organization_name":"Society for Industrial and Applied Mathematics","host_organization_lineage":["https://openalex.org/P4310320508"],"host_organization_lineage_names":["Society for Industrial and Applied Mathematics"],"type":"journal"},"license":null,"license_id":null,"version":"publishedVersion","is_accepted":true,"is_published":true,"raw_source_name":"SIAM Journal on Scientific Computing","raw_type":"journal-article"},{"id":"pmh:oai:arXiv.org:1110.2367","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1110.2367","pdf_url":"https://arxiv.org/pdf/1110.2367","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"}],"best_oa_location":{"id":"pmh:oai:arXiv.org:1110.2367","is_oa":true,"landing_page_url":"http://arxiv.org/abs/1110.2367","pdf_url":"https://arxiv.org/pdf/1110.2367","source":{"id":"https://openalex.org/S4306400194","display_name":"arXiv (Cornell University)","issn_l":null,"issn":null,"is_oa":true,"is_in_doaj":false,"is_core":false,"host_organization":"https://openalex.org/I205783295","host_organization_name":"Cornell University","host_organization_lineage":["https://openalex.org/I205783295"],"host_organization_lineage_names":[],"type":"repository"},"license":null,"license_id":null,"version":"submittedVersion","is_accepted":false,"is_published":false,"raw_source_name":null,"raw_type":"text"},"sustainable_development_goals":[{"score":0.5099999904632568,"display_name":"Sustainable cities and communities","id":"https://metadata.un.org/sdg/11"}],"awards":[],"funders":[],"has_content":{"pdf":false,"grobid_xml":false},"content_urls":null,"referenced_works_count":11,"referenced_works":["https://openalex.org/W1499969990","https://openalex.org/W2046386580","https://openalex.org/W2056760934","https://openalex.org/W2065221212","https://openalex.org/W2138309709","https://openalex.org/W2139141215","https://openalex.org/W2151065060","https://openalex.org/W2166831536","https://openalex.org/W3121574170","https://openalex.org/W4246464108","https://openalex.org/W4247880210"],"related_works":["https://openalex.org/W4241738083","https://openalex.org/W2951463540","https://openalex.org/W4236212828","https://openalex.org/W3125183925","https://openalex.org/W4230519659","https://openalex.org/W2123403185","https://openalex.org/W2952599005","https://openalex.org/W2498738267","https://openalex.org/W3125182808","https://openalex.org/W3123053987"],"abstract_inverted_index":{"We":[0,37,55],"study":[1],"a":[2,77,81,133],"Monte":[3],"Carlo":[4],"algorithm":[5,30],"for":[6,47,150],"simulation":[7,43,61,68],"of":[8,44,50,60,69,90,104,135,171,191],"probability":[9,63],"distributions":[10],"based":[11],"on":[12,132],"stochastic":[13],"step":[14,28,106,165,193],"functions,":[15],"and":[16,98,109,175,187],"compare":[17,179],"it":[18],"to":[19,41,110],"the":[20,25,27,42,91,105,114,136,151,164,172,180,189,192,199],"traditional":[21],"Metropolis/Hastings":[22,115,144],"method.":[23],"Unlike":[24],"latter,":[26],"function":[29,107,166,194],"can":[31],"produce":[32],"an":[33,127],"uncorrelated":[34,51,124],"Markov":[35],"chain.":[36],"apply":[38],"this":[39],"method":[40],"Levy":[45,70,74,83,137,152],"processes,":[46,177],"which":[48,122],"drawing":[49],"jumps":[52],"is":[53,161],"essential.":[54],"perform":[56],"numerical":[57],"tests":[58],"consisting":[59],"from":[62,126],"distributions,":[64],"as":[65,67,85,87,196,198],"well":[66,86,197],"process":[71,153],"paths.":[72],"The":[73,140],"processes":[75],"include":[76],"jump":[78],"diffusion":[79],"with":[80,184],"Gaussian":[82,96],"measure,":[84],"jump-diffusion":[88],"approximations":[89],"infinite":[92],"activity":[93],"normal":[94],"inverse":[95],"(NIG)":[97],"CGMY":[99,176],"processes.":[100],"To":[101],"increase":[102],"efficiency":[103],"method,":[108,116],"decrease":[111],"correlations":[112,142],"in":[113,143,147,163],"we":[117,178],"introduce":[118],"adaptive":[119,128],"hybrid":[120],"algorithms":[121],"employ":[123],"draws":[125],"discrete":[129],"distribution":[130,154,181],"defined":[131],"subdivision":[134],"measure":[138],"space.":[139],"nonzero":[141],"simulations":[145],"result":[146],"heavy":[148],"tails":[149],"at":[155,182],"any":[156],"fixed":[157],"time.":[158],"This":[159],"problem":[160],"eliminated":[162],"approach.":[167],"In":[168],"each":[169],"case":[170],"Gaussian,":[173],"NIG,":[174],"$t=1$":[183],"exact":[185],"results":[186],"note":[188],"superiority":[190],"approach,":[195],"autocorrelation":[200],"functions.":[201]},"counts_by_year":[{"year":2018,"cited_by_count":1},{"year":2017,"cited_by_count":1},{"year":2016,"cited_by_count":1}],"updated_date":"2026-03-20T23:20:44.827607","created_date":"2025-10-10T00:00:00"}
