Numerical computation of hitting time distributions of increasing Lévy processes

DOI10.1016/j.spl.2016.08.013zbMath1397.60042OpenAlexW2517736207MaRDI QIDQ334063

Geon Ho Choe, Dong Min Lee

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

zbMATH Keywords

Hilbert transformcharacteristic functionLévy processhitting timeLambert functionsinc expansion

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Characteristic functions; other transforms (60E10)

Uses Software

• Sinc-Pack

Cites Work

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• Tempered stable distributions and processes
• Numerical computation of first-passage times of increasing Lévy processes
• Inverse tempered stable subordinators
• Triangular array limits for continuous time random walks
• Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes
• Hitting times for Gaussian processes
• Stochastic model for ultraslow diffusion
• Inverting Analytic Characteristic Functions and Financial Applications
• Lévy Processes and Stochastic Calculus

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