A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
The authors propose a numerical evaluation technique related to the fluctuation theory for Lévy processes. Here, they first rewrite transforms of interest in terms of \(K(\nu,\alpha)\) and then develop a technique to compute \(K(\nu,\alpha)\) in terms of \(\alpha\), \(\nu\) and Lévy exponent \(\phi(\, .\,)\). The authors rely on the inversion approach of \textit{P. den Iseger} [Probab. Eng. Inf. Sci. 20, No. 1, 1--44 (2006; Zbl 1095.65116)] to obtain the densities and probabilities of interest. The performance of the algorithm is illustrated with various examples such as Brownian motion (with drift), a compound Poisson process, and a jump diffusion process. The paper is concluded by pointing out how the algorithm of the paper can be used in order to analyze the Lévy process.
- Numerical techniques in Lévy fluctuation theory
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
- Applying the Wiener-Hopf Monte Carlo simulation technique for Lévy processes to path functionals
- Fast and accurate pricing of barrier options under Lévy processes
- Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
- 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 first-passage probabilities for spectrally one-sided Lévy processes
- Evaluating Scale Functions of Spectrally Negative Lévy Processes
- Financial Modelling with Jump Processes
- 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?)
- Introductory lectures on fluctuations of Lévy processes with applications.
- 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
- NUMERICAL TRANSFORM INVERSION USING GAUSSIAN QUADRATURE
- 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
- Open problems in queueing theory inspired by datacenter computing
- Queueing and risk models with dependencies
- A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
- Transient analysis of reflected Lévy processes
- Numerical techniques in Lévy fluctuation theory
- Evaluating first-passage probabilities for spectrally one-sided Lévy processes
- A bivariate risk model with mutual deficit coverage
- Two coupled Lévy queues with independent input
- Workload analysis of a two-queue fluid polling model
- A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
This page was built for publication: A Wiener-Hopf based approach to numerical computations in fluctuation theory for Lévy processes
Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2391871)
