Numerical computation of first-passage times of increasing Lévy processes (Q607622)

For a non-decreasing Lévy process \(D\), the first-hitting time process is defined as \(E(t)=\inf\{s:D(s)>t\}\). All finite-dimensional distributions of this process are determined by the so-called renewal function, i.e., the mean first-hitting time \(\mathbb{E}[u(t)]\). The computation of the latter requires inverting a Laplace transform given in terms of the Lévy exponent of \(D\). Since this typically cannot be done analytically, numerical methods are necessary. In this paper, the authors propose two such approaches. One is based on the Bromwich integral and the other on the Post-Widder inversion formula. Several examples demonstrate the applicability of the results.