Exact simulation of extrinsic stress-release processes

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,...

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Bibliographic Details
Published inJournal of applied probability Vol. 59; no. 1; pp. 105 - 117
Main Authors Lee, Young, Laub, Patrick J., Taimre, Thomas, Zhao, Hongbiao, Zhuang, Jiancang
Format Journal Article
LanguageEnglish
Published Cambridge, UK Cambridge University Press 01.03.2022
Subjects
Algorithms
Earthquakes
Martingales
Original Article
Random variables
Simulation
60G55
65C05
60G20
Stress-release process
inhibitory point process
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ISSN0021-9002
1475-6072
DOI10.1017/jpr.2021.35

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Summary: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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content type line 14
ISSN:0021-9002
1475-6072
DOI:10.1017/jpr.2021.35