Comments (2)
Do you think of symmetric stable? Then you could use Random walk approximation
by Chambers, Mallow and Struck
https://pdfs.semanticscholar.org/6cf2/458c48b5d903d35afc21cedc285145de0abb.pdf to generate the driving process. The Euler solver then takes the driving process as argument, I used it to solve Gamma process driven SDE (Gamma process is implemented)
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Yes. I plan to use your Gamma process model too. Thanks for the tip. Nolan's notes on stable distributions are the one that I usually refer to but could not find anything in Julia. Thanks for the quick response.
I am new to Julia but am excited to try it out to teach some of my upcoming courses and use it in my upcoming projects.
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Related Issues (17)
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