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

DOI10.1007/s00186-013-0434-9zbMath1281.60045OpenAlexW2064392111MaRDI 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

zbMATH Keywords

Laplace transformWiener-Hopf factorizationLévy processfluctuation theoryconcave majorantLaplace-inversion

Mathematics Subject Classification ID

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

Related Items (7)

A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes ⋮ Workload analysis of a two-queue fluid polling model ⋮ Transient analysis of reflected Lévy processes ⋮ A bivariate risk model with mutual deficit coverage ⋮ Open problems in queueing theory inspired by datacenter computing ⋮ Two coupled Levy queues with independent input ⋮ Queueing and risk models with dependencies

Uses Software

• EMpht

Cites Work

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