A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes (Q2391871): Difference between revisions

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.