Numerical computation of hitting time distributions of increasing Lévy processes
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Publication:334063
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Cites work
- scientific article; zbMATH DE number 3680932 (Why is no real title available?)
- scientific article; zbMATH DE number 1418383 (Why is no real title available?)
- scientific article; zbMATH DE number 3273551 (Why is no real title available?)
- Hitting times for Gaussian processes
- Inverse tempered stable subordinators
- Inverting analytic characteristic functions and financial applications
- Lévy Processes and Stochastic Calculus
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- Stochastic model for ultraslow diffusion
- Tempered stable distributions and processes
- Triangular array limits for continuous time random walks
- Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
Cited in
(4)- Numerical computation of first-passage times of increasing Lévy processes
- Computing exponential moments of the discrete maximum of a Lévy process and lookback options
- Numerical techniques in Lévy fluctuation theory
- Numerical determination of hitting time distributions from their Laplace transforms: simple cases
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