Markov chain approximations to scale functions of Lévy processes

DOI10.1016/j.spa.2015.05.012zbMath1328.60120arXiv1310.1737OpenAlexW2007504476MaRDI QIDQ492961

Matija Vidmar, Aleksandar Mijatović, S. D. Jacka

Publication date: 21 August 2015

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1310.1737

zbMATH Keywords

convergence ratesapproximation algorithmcontinuous-time Markov chainsscale functionsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Probabilistic methods, stochastic differential equations (65C99)

Related Items (3)

On future drawdowns of Lévy processes ⋮ Fractional partial differential equations with boundary conditions ⋮ First passage problems for upwards skip-free random walks via the scale functions paradigm

Uses Software

• Matlab

Cites Work

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