Conformal accelerations method and efficient evaluation of stable distributions

DOI10.1007/s10440-020-00320-2zbMath1459.35374arXiv1808.04321OpenAlexW3009007179MaRDI QIDQ2023071

Svetlana Boyarchenko, Sergei Levendorskii

Publication date: 3 May 2021

Published in: Acta Applicandae Mathematicae (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1808.04321

zbMATH Keywords

Fourier transformsspecial functionssignal processingspectral methodsfractional partial differential equationsstable Lévy processesconformal accelerationconformal principal componentssinh-acceleration

Mathematics Subject Classification ID

Fourier and Fourier-Stieltjes transforms and other transforms of Fourier type (42A38) Spectral, collocation and related methods for initial value and initial-boundary value problems involving PDEs (65M70) Stable stochastic processes (60G52) Numerical integration (65D30) Numerical approximation and evaluation of special functions (33F05) Fractional partial differential equations (35R11)

Related Items (2)

SINH-ACCELERATION FOR B-SPLINE PROJECTION WITH OPTION PRICING APPLICATIONS ⋮ Closed-form option pricing for exponential Lévy models: a residue approach

Uses Software

• Mathematica
• Matlab
• STABLE

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