Numerical Computation of First-Passage Times of Increasing Lévy Processes
Author:
Publisher
Springer Science and Business Media LLC
Subject
General Mathematics,Statistics and Probability
Link
http://link.springer.com/content/pdf/10.1007/s11009-009-9158-y.pdf
Reference36 articles.
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3. Applebaum D (2004) Lévy processes and stochastic calculus. Cambridge University Press, Cambridge
4. Arous GB, Cerny J (2007) Scaling limits for trap models on ℤ d . Ann Probab 35(6):2356–2384
5. Barndorff-Nielsen O (1977) Infinite divisibility of the hyperbolic and generalized inverse Gaussian distributions. Z. Wahrscheinlichkeitstheorie und Verw. Gebiete 38:309–312
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