{"status":"ok","message-type":"work","message-version":"1.0.0","message":{"indexed":{"date-parts":[[2026,2,19]],"date-time":"2026-02-19T06:00:35Z","timestamp":1771480835344,"version":"3.50.1"},"reference-count":43,"publisher":"Association for Computing Machinery (ACM)","issue":"3","license":[{"start":{"date-parts":[[2020,5,31]],"date-time":"2020-05-31T00:00:00Z","timestamp":1590883200000},"content-version":"vor","delay-in-days":0,"URL":"https:\/\/www.acm.org\/publications\/policies\/copyright_policy#Background"}],"content-domain":{"domain":["dl.acm.org"],"crossmark-restriction":true},"short-container-title":["ACM Trans. Model. Comput. Simul."],"published-print":{"date-parts":[[2020,7,31]]},"abstract":"<jats:p>\n            A truncated L\u00e9vy subordinator is a L\u00e9vy subordinator in R\n            <jats:sup>+<\/jats:sup>\n            with L\u00e9vy measure restricted from above by a certain level\n            <jats:italic>b<\/jats:italic>\n            . In this article, we study the path and distribution properties of this type of process in detail and set up an exact simulation framework based on a marked renewal process. In particular, we focus on a typical specification of truncated L\u00e9vy subordinator, namely the truncated stable process. We establish an exact simulation algorithm for the truncated stable process, which is very accurate and efficient. Compared to the existing algorithm suggested in Chi, our algorithm outperforms over all parameter settings. Using the distributional decomposition technique, we also develop an exact simulation algorithm for the truncated tempered stable process and other related processes. We illustrate an application of our algorithm as a valuation tool for stochastic hyperbolic discounting, and numerical analysis is provided to demonstrate the accuracy and effectiveness of our methods. We also show that variations of the result can also be used to sample two-sided truncated L\u00e9vy processes, two-sided L\u00e9vy processes via subordinating Brownian motions, and truncated L\u00e9vy-driven Ornstein-Uhlenbeck processes.\n          <\/jats:p>","DOI":"10.1145\/3368088","type":"journal-article","created":{"date-parts":[[2020,6,1]],"date-time":"2020-06-01T04:39:28Z","timestamp":1590986368000},"page":"1-17","update-policy":"https:\/\/doi.org\/10.1145\/crossmark-policy","source":"Crossref","is-referenced-by-count":16,"title":["Exact Simulation of a Truncated L\u00e9vy Subordinator"],"prefix":"10.1145","volume":"30","author":[{"given":"Angelos","family":"Dassios","sequence":"first","affiliation":[{"name":"London School of Economics, London, UK"}]},{"given":"Jia Wei","family":"Lim","sequence":"additional","affiliation":[{"name":"Brunel University London, Middlesex, UK"}]},{"ORCID":"https:\/\/orcid.org\/0000-0003-2967-9785","authenticated-orcid":false,"given":"Yan","family":"Qu","sequence":"additional","affiliation":[{"name":"University of Warwick, Coventry, UK"}]}],"member":"320","published-online":{"date-parts":[[2020,5,31]]},"reference":[{"key":"e_1_2_1_1_1","doi-asserted-by":"publisher","DOI":"10.1007\/BF01158520"},{"key":"e_1_2_1_2_1","doi-asserted-by":"publisher","DOI":"10.1287\/ijoc.7.1.36"},{"key":"e_1_2_1_3_1","doi-asserted-by":"publisher","DOI":"10.1287\/ijoc.1050.0137"},{"key":"e_1_2_1_4_1","doi-asserted-by":"publisher","DOI":"10.1017\/S0021900200019987"},{"key":"e_1_2_1_5_1","doi-asserted-by":"publisher","DOI":"10.1007\/s007800050032"},{"key":"e_1_2_1_6_1","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1035228204"},{"key":"e_1_2_1_7_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00282"},{"key":"e_1_2_1_8_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9868.00336"},{"key":"e_1_2_1_9_1","doi-asserted-by":"publisher","DOI":"10.1111\/1467-9469.00331"},{"key":"e_1_2_1_10_1","doi-asserted-by":"publisher","DOI":"10.3150\/bj\/1068128977"},{"key":"e_1_2_1_11_1","doi-asserted-by":"crossref","unstructured":"J. Bertoin and R. A. Doney. 1994. Cram\u00e9r\u2019s estimate for L\u00e9vy processes. Statistics 8 Probability Letters 21 5 (1994) 363\u2013365.  J. Bertoin and R. A. Doney. 1994. Cram\u00e9r\u2019s estimate for L\u00e9vy processes. Statistics 8 Probability Letters 21 5 (1994) 363\u2013365.","DOI":"10.1016\/0167-7152(94)00032-8"},{"key":"e_1_2_1_12_1","doi-asserted-by":"publisher","DOI":"10.1239\/jap\/1318940463"},{"key":"e_1_2_1_13_1","doi-asserted-by":"publisher","DOI":"10.1239\/aap\/1346955267"},{"key":"e_1_2_1_14_1","doi-asserted-by":"publisher","DOI":"10.1017\/jpr.2019.6"},{"key":"e_1_2_1_15_1","unstructured":"A. Dassios Y. Qu and H. Zhao. 2017. Exact simulation of tempered stable Ornstein-Uhlenbeck processes: A unified approach. Working Paper. London School of Economics.  A. Dassios Y. Qu and H. Zhao. 2017. Exact simulation of tempered stable Ornstein-Uhlenbeck processes: A unified approach. Working Paper. 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