Numerical techniques in Lévy fluctuation theory (Q2445476): Difference between revisions

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+M. R. H. Mandjes
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+https://doi.org/10.1007/s11009-012-9296-5
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+W2150491765
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@@ Property / cites work @@
+Numerical Inversion of Laplace Transforms of Probability Distributions
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+Applied Probability and Queues
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+Approximations of small jumps of Lévy processes with a view towards simulation
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+Russian and American put options under exponential phase-type Lévy models.
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+Randomization and the American Put
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+An Algorithm for the Machine Calculation of Complex Fourier Series
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+Financial Modelling with Jump Processes
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+NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
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+Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
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+Simulation-Based Computation of the Workload Correlation Function in a Lévy-Driven Queue
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+The supremum distribution of a Lévy process with no negative jumps
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+Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
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+A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
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+Introductory lectures on fluctuations of Lévy processes with applications.
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+Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
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+Evaluating first-passage probabilities for spectrally one-sided Lévy processes
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+Evaluating Scale Functions of Spectrally Negative Lévy Processes
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