Markov chain approximations to scale functions of Lévy processes (Q492961): Difference between revisions

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Property / author: S. D. Jacka / rank
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Property / author
 
Property / author: S. D. Jacka / rank
 
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Property / Mathematics Subject Classification ID: 60G51 / rank
 
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Property / Mathematics Subject Classification ID: 60J25 / rank
 
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Property / Mathematics Subject Classification ID: 65C99 / rank
 
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spectrally negative Lévy processes
Property / zbMATH Keywords: spectrally negative Lévy processes / rank
 
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continuous-time Markov chains
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scale functions
Property / zbMATH Keywords: scale functions / rank
 
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approximation algorithm
Property / zbMATH Keywords: approximation algorithm / rank
 
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convergence rates
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Revision as of 15:52, 10 July 2024

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Markov chain approximations to scale functions of Lévy processes
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    Markov chain approximations to scale functions of Lévy processes (English)
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    21 August 2015
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    spectrally negative Lévy processes
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    continuous-time Markov chains
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    scale functions
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    approximation algorithm
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    convergence rates
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