A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes

DOI10.1007/S00186-013-0434-9MaRDI QIDQ2391871zbMATH OpenOpenAlexFDO

Authors Peter den Iseger, Paul Gruntjes, M. R. H. Mandjes

Publication date 5 August 2013

Published in Mathematical Methods of Operations Research (Search for Journal in Brave)

Full work available at URL https://doi.org/10.1007/s00186-013-0434-9

zbMATH Keywords

Laplace transformfluctuation theoryWiener-Hopf factorizationconcave majorantLaplace-inversionLévy process

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Laplace transform (44A10) Numerical methods for integral transforms (65R10)

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Cites work

• scientific article; zbMATH DE number 4078444 (Why is no real title available?)
• scientific article; zbMATH DE number 1183924 (Why is no real title available?)
• scientific article; zbMATH DE number 1232408 (Why is no real title available?)
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
• An Algorithm for the Machine Calculation of Complex Fourier Series
• Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
• Evaluating Scale Functions of Spectrally Negative Lévy Processes
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• Financial Modelling with Jump Processes
• Introductory lectures on fluctuations of Lévy processes with applications.
• NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
• Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
• Numerical Inversion of Laplace Transforms of Probability Distributions
• Numerical techniques in Lévy fluctuation theory
• Russian and American put options under exponential phase-type Lévy models.
• Stochastic Volatility for Lévy Processes
• The concave majorant of Brownian motion
• Wiener-Hopf Factorization for Lévy Processes Having Positive Jumps with Rational Transforms

Cited in

(10)

• Transient analysis of reflected Lévy processes
• Open problems in queueing theory inspired by datacenter computing
• Evaluating first-passage probabilities for spectrally one-sided Lévy processes
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• Queueing and risk models with dependencies
• Two coupled Lévy queues with independent input
• A bivariate risk model with mutual deficit coverage
• Workload analysis of a two-queue fluid polling model
• A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
• Numerical techniques in Lévy fluctuation theory

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