Hello,
I'm trying to program a Lévy process in Matlab based on the Meixner distribution. I already know how to draw random samples for this process. Now my question would be how can i establish now a simple one dimensional Lévy process with jumps only (no continuous parts) that is based on the Meixner process? As additional information, the process is an infinite activity process.
Sorry if that may sound trivial to you, however i did not find specific information on how to implement it in matlab.
Thanks for your help!
I'm trying to program a Lévy process in Matlab based on the Meixner distribution. I already know how to draw random samples for this process. Now my question would be how can i establish now a simple one dimensional Lévy process with jumps only (no continuous parts) that is based on the Meixner process? As additional information, the process is an infinite activity process.
Sorry if that may sound trivial to you, however i did not find specific information on how to implement it in matlab.
Thanks for your help!
