Approximating Lévy processes with completely monotone jumps

DOI10.1214/14-AAP1093zbMath1339.60050arXiv1404.0597OpenAlexW3102951487MaRDI QIDQ259581

Alexey Kuznetsov, Daniel Hackmann

Publication date: 11 March 2016

Published in: The Annals of Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1404.0597

zbMATH Keywords

Lévy processesPadé approximationrational interpolationJacobi polynomialsGaussian quadraturecompletely monotone jumpshyperexponential processesStieltjes functions

Mathematics Subject Classification ID

Related Items (10)

Fluctuation theory for Lévy processes with completely monotone jumps ⋮ Analytic techniques for option pricing under a hyperexponential Lévy model ⋮ On the role of skewness and kurtosis in tempered stable (CGMY) Lévy models in finance ⋮ Classical robots perturbed by Lévy processes: analysis and Lévy disturbance rejection methods ⋮ Intra‐Horizon expected shortfall and risk structure in models with jumps ⋮ Parisian options with jumps: a maturity–excursion randomization approach ⋮ The disorder problem for purely jump Lévy processes with completely monotone jumps ⋮ Ruin probabilities by Padé's method: simple moments based mixed exponential approximations (Renyi, De Vylder, Cramér-Lundberg), and high precision approximations with both light and heavy tails ⋮ A new class of survival distribution for degradation processes subject to shocks ⋮ A Computational Approach to First Passage Problems of Reflected Hyperexponential Jump Diffusion Processes

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