Numerical computation of hitting time distributions of increasing Lévy processes
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Publication:334063
DOI10.1016/J.SPL.2016.08.013zbMATH Open1397.60042OpenAlexW2517736207MaRDI QIDQ334063FDOQ334063
Publication date: 31 October 2016
Published in: Statistics \& Probability Letters (Search for Journal in Brave)
Full work available at URL: https://doi.org/10.1016/j.spl.2016.08.013
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Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51)
Cites Work
- Tempered stable distributions and processes
- Title not available (Why is that?)
- Lévy Processes and Stochastic Calculus
- Stochastic model for ultraslow diffusion
- Title not available (Why is that?)
- Triangular array limits for continuous time random walks
- Title not available (Why is that?)
- Hitting times for Gaussian processes
- Inverting analytic characteristic functions and financial applications
- Numerical computation of first-passage times of increasing Lévy processes
- Inverse tempered stable subordinators
- Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
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