Numerical computation of first-passage times of increasing Lévy processes

DOI10.1007/s11009-009-9158-yzbMath1213.60094arXiv0904.4232OpenAlexW2013268232MaRDI QIDQ607622

Murad S. Taqqu, Mark S. Veillette

Publication date: 22 November 2010

Published in: Methodology and Computing in Applied Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/0904.4232

zbMATH Keywords

jump processesfirst-hitting timesLévy subordinatorsnumerical inversion of transformsPost-Widder method

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stopping times; optimal stopping problems; gambling theory (60G40)

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Nonparametric optimal designs for degradation tests ⋮ Numerical computation of hitting time distributions of increasing Lévy processes ⋮ Time-changed space-time fractional Poisson process ⋮ Mixtures of Tempered Stable Subordinators ⋮ First-exit times of an inverse Gaussian process ⋮ Fractional Erlang queues ⋮ Inverse tempered stable subordinators ⋮ Risk process with mixture of tempered stable inverse subordinators: analysis and synthesis ⋮ A Technique for Computing the PDFs and CDFs of Nonnegative Infinitely Divisible Random Variables ⋮ First passage time of a Lévy degradation model with random effects ⋮ Transient behavior of fractional queues and related processes ⋮ Subordinated compound Poisson processes of order \(k\) ⋮ Fractional Poisson fields and martingales ⋮ Using differential equations to obtain joint moments of first-passage times of increasing Lévy processes ⋮ On exact sampling of the first passage event of a Lévy process with infinite Lévy measure and bounded variation ⋮ Time-changed Poisson processes of order k ⋮ On the long-range dependence of mixed fractional Poisson process ⋮ Fractional risk process in insurance ⋮ Mixed fractional risk process ⋮ Fractional Poisson process time-changed by Lévy subordinator and its inverse ⋮ Fractional Poisson fields

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