Exact simulation of extrinsic stress-release processes

作者:Lee, Young*; Laub, Patrick J.; Taimre, Thomas; Zhao, Hongbiao; Zhuang, Jiancang
来源:Journal of Applied Probability, 2022, 59(1): 105-117.
DOI:10.1017/jpr.2021.35

摘要

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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