A Simple and Efficient Algorithm to Compute Tail Probabilities from Transforms

DOI10.1287/OPRE.36.1.137zbMath0655.65150OpenAlexW2006642748MaRDI QIDQ3802575

L. K. Platzman, Jane C. Ammons, John J. III Bartholdi

Publication date: 1988

Published in: Operations Research (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1287/opre.36.1.137

zbMATH Keywords

tail probabilitynumerical examplesNP-hard problem{\#}P-hardtransform inversion formula

Mathematics Subject Classification ID

Algorithms in computer science (68W99) Probabilistic methods, stochastic differential equations (65C99)

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