A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
DOI10.1007/S00186-013-0434-9zbMATH Open1281.60045OpenAlexW2064392111MaRDI QIDQ2391871FDOQ2391871
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
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Cites Work
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- Numerical Inversion of Laplace Transforms by Relating Them to the Finite Fourier Cosine Transform
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- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- Characterization of the least concave majorant of Brownian motion, conditional on a vertex point, with application to construction
- Numerical techniques in Lévy fluctuation theory
Cited In (9)
- 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 Levy 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
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