A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
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Publication:2391871
DOI10.1007/s00186-013-0434-9zbMath1281.60045MaRDI QIDQ2391871
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
Laplace transform; Wiener-Hopf factorization; Lévy process; fluctuation theory; concave majorant; Laplace-inversion
60G51: Processes with independent increments; Lévy processes
44A10: Laplace transform
65R10: Numerical methods for integral transforms
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Cites Work
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