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arXiv · 2106.14415

Exact simulation of extrinsic stress-release processes

Young Lee·Patrick J. Laub·Thomas Taimre·Hongbiao Zhao·Jiancang Zhuang
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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 interarrival 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 Borovkov & Vere-Jones (2000) and are used to demonstrate the validity of our simulation algorithm.

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Young Lee, Patrick J. Laub, Thomas Taimre, Hongbiao Zhao, Jiancang Zhuang. 2021-06-28. Exact simulation of extrinsic stress-release processes. https://arxiv.org/abs/2106.14415

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