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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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
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ISSN0021-9002
1475-6072
DOI10.1017/jpr.2021.35

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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 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.
AbstractList 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.
Author Taimre, Thomas
Lee, Young
Zhao, Hongbiao
Zhuang, Jiancang
Laub, Patrick J.
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  surname: Zhuang
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Cites_doi 10.1073/pnas.1203177109
10.1007/978-1-4684-9477-8
10.1239/jap/1014842538
10.1007/978-1-4757-1665-8
10.1016/0040-1951(94)90007-8
10.1186/BF03351562
10.1002/nav.3800260304
10.1007/BF02650456
10.1007/s11589-998-0087-6
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10.1111/j.1467-842X.1988.tb00469.x
10.2307/3213644
10.1046/j.1365-246X.2003.02015.x
10.1198/016214508000000148
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10.1109/TIT.1981.1056305
10.1239/jap/1085496600
10.1007/978-3-662-05265-5
10.1007/s11589-998-0035-5
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10.1093/oso/9780199215256.001.0001
10.1007/978-3-662-10061-5
10.1146/annurev-earth-063016-015918
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Stress-release process
inhibitory point process
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Snippet 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...
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SubjectTerms Algorithms
Earthquakes
Martingales
Original Article
Random variables
Simulation
Title Exact simulation of extrinsic stress-release processes
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