A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes (Q2391871): Difference between revisions
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scientific article
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English | A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes |
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A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes (English)
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5 August 2013
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The authors propose a numerical evaluation technique related to the fluctuation theory for Lévy processes. Here, they first rewrite transforms of interest in terms of \(K(\nu,\alpha)\) and then develop a technique to compute \(K(\nu,\alpha)\) in terms of \(\alpha\), \(\nu\) and Lévy exponent \(\phi(\, .\,)\). The authors rely on the inversion approach of \textit{P. den Iseger} [Probab. Eng. Inf. Sci. 20, No. 1, 1--44 (2006; Zbl 1095.65116)] to obtain the densities and probabilities of interest. The performance of the algorithm is illustrated with various examples such as Brownian motion (with drift), a compound Poisson process, and a jump diffusion process. The paper is concluded by pointing out how the algorithm of the paper can be used in order to analyze the Lévy process.
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Wiener-Hopf factorization
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Laplace transform
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Laplace-inversion
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Lévy process
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concave majorant
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fluctuation theory
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