Numerical techniques in Lévy fluctuation theory

DOI10.1007/s11009-012-9296-5zbMath1291.60096OpenAlexW2150491765MaRDI QIDQ2445476

Peter den Iseger, Naser M. Asghari, M. R. H. Mandjes

Publication date: 14 April 2014

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1007/s11009-012-9296-5

zbMATH Keywords

Lévy processesmathematical financefluctuation theoryphase-type distributionsWiener-Hopf

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Numerical methods in Fourier analysis (65T99)

Related Items (5)

Finite-time ruin probabilities using bivariate Laguerre series ⋮ A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes ⋮ Transient analysis of reflected Lévy processes ⋮ Hypothesis testing for a Lévy-driven storage system by Poisson sampling ⋮ Queueing and risk models with dependencies

Uses Software

• PhFit
• EMpht

Cites Work

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• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms
• Evaluating Scale Functions of Spectrally Negative Lévy Processes
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform

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