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Exact simulation of extrinsic stress-release processes
Published online by Cambridge University Press: 14 February 2022
Abstract
We present a new and straightforward algorithm that simulates exact sample paths for a generalized stress-release process. The computation of the exact law of the joint inter-arrival times is detailed and used to derive this algorithm. Furthermore, the martingale generator of the process is derived, and induces theoretical moments which generalize some results of [3] and are used to demonstrate the validity of our simulation algorithm.
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- © The Author(s), 2022. Published by Cambridge University Press on behalf of Applied Probability Trust
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