Markov chain approximations for transition densities of Lévy processes

DOI10.1214/EJP.V19-2208zbMath1303.60038arXiv1211.0476OpenAlexW2130347183MaRDI QIDQ2637751

Matija Vidmar, Aleksandar Mijatović, S. D. Jacka

Publication date: 14 February 2014

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1211.0476

zbMATH Keywords

spectral representationLévy processcontinuous-time Markov chainconvergence rates for semi-groups and transition densities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on discrete state spaces (60J27)

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A general method for analysis and valuation of drawdown risk ⋮ Computable Error Bounds of Laplace Inversion for Pricing Asian Options ⋮ Markov chain approximations to scale functions of Lévy processes ⋮ On finite difference schemes for partial integro-differential equations of Lévy type ⋮ Analysis of Markov Chain Approximation for Diffusion Models with Nonsmooth Coefficients

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