Phase-type Fitting of scale functions for spectrally negative Lévy processes

DOI10.1016/j.cam.2013.12.044zbMath1291.60094arXiv1005.0064OpenAlexW2094808571MaRDI QIDQ2252259

Kazutoshi Yamazaki, Masahiko Egami

Publication date: 16 July 2014

Published in: Journal of Computational and Applied Mathematics (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1005.0064

zbMATH Keywords

scale functionsspectrally negative Lévy processesphase-type models

Mathematics Subject Classification ID

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