simTandW {SubTS}

Simulation of hitting time and overshoot.

Description

Simulates the hitting time T and the overshoot W of a stable process by implimenting Algorithm 4.1 in Dassios, Qu, and Lim (2020). This is important for simulating other distribution.

Usage

simTandW(alpha)

Arguments

alpha

Parameter in the open interval (0,1).

Value

Returns one pair of random numbers. The first is T and the second is W.

Author(s)

Michael Grabchak and Lijuan Cao

References

A. Dassios, Y. Qu, J.W. Lim (2020). Exact simulation of a truncated Levy subordinator. ACM Transactions on Modeling and Computer Simulation, 30(10), 17.

Examples

simTandW(.6)