Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum-Reference-Cited by-同舟云学术

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Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum

Published:2023 Issue: Volume: Page:
ISSN:1556-5068
Container-title:SSRN Electronic Journal
language:en
Short-container-title:SSRN Journal

Author:

Boyarchenko Svetlana I.,Levendorskii Sergei Z.

Publisher

Elsevier BV

Subject

General Earth and Planetary Sciences,General Environmental Science

Reference35 articles.

1. Multi-precision Laplace inversion;J Abate;International Journal of Numerical Methods in Engineering,2004

2. The Fourier-series method for inverting transforms of probability distributions;J Abate;Queueing Systems,1992

3. Numerical inversion of of probability generating functions;J Abate;Operation Research Letters,1992

4. A unified framework for numerically inverting Laplace transforms;J Abate;INFORMS Journal on Computing,2006

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