Exact Simulation from Tempered Stable Distributions with Infinite Variation ($\alpha\ge1$)

Michael Grabchak

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arXiv · 2604.17732

Exact Simulation from Tempered Stable Distributions with Infinite Variation ($\alpha\ge1$)

Michael Grabchak

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Abstract

We develop the first exact and computationally tractable method for simulating from tempered stable distributions in the infinite variation case, which corresponds to $\alpha\in[1,2)$. A small simulation study shows that the approach works well.

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Michael Grabchak. 2026-04-20. Exact Simulation from Tempered Stable Distributions with Infinite Variation ($\alpha\ge1$). https://arxiv.org/abs/2604.17732

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