Implement Chambers, Mallow and Struck for $\alpha$-stable processes

[venkatachalapathy]

I am looking to run experiments to calculate first exits across a boundary using Levy-driven SDE. Does this package have a quick and dirty way to simulate $\alpha$-stable distribution based jump SDEs using Bridge.jl?

[mschauer]

Do you think of symmetric stable? Then you could use Random walk approximation by Chambers, Mallow and Struck https://pdfs.semanticscholar.org/6cf2/458c48b5d903d35afc21cedc285145de0abb.pdf to generate the driving process. The Euler solver then takes the driving process as argument, I used it to solve Gamma process driven SDE (Gamma process is implemented)

[venkatachalapathy]

Yes. I plan to use your Gamma process model too. Thanks for the tip. Nolan's notes on stable distributions are the one that I usually refer to but could not find anything in Julia. Thanks for the quick response.

I am new to Julia but am excited to try it out to teach some of my upcoming courses and use it in my upcoming projects.