Markov chain approximations to scale functions of Lévy processes
type: Item
instance of: scholarly article
title: Markov chain approximations to scale functions of Lévy processes
zbMATH Open document ID: 1328.60120
author: Aleksandar Mijatović
author: Matija Vidmar
author: S. D. Jacka
published in: Stochastic Processes and their Applications
publication date: 2015-08-21T00:00:00Z
full work available at URL: https://arxiv.org/abs/1310.1737
full work available at URL: WRAP 8473264-st-060116-scale functions-short.pdf
Mathematics Subject Classification ID: 60G51
Mathematics Subject Classification ID: 60J25
Mathematics Subject Classification ID: 65C99
zbMATH DE Number: 6474647
zbMATH Keywords: spectrally negative Lévy processes
zbMATH Keywords: continuous-time Markov chains
zbMATH Keywords: scale functions
zbMATH Keywords: approximation algorithm
zbMATH Keywords: convergence rates
describes a project that uses: Matlab
MaRDI profile type: Publication
OpenAlex ID: W2007504476
arXiv ID: 1310.1737
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DOI: 10.1016/J.SPA.2015.05.012
description: scientific article