Phase-type fitting of scale functions for spectrally negative Lévy processes-Reference-Cited by-同舟云学术

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Phase-type fitting of scale functions for spectrally negative Lévy processes

Published:2014-07 Issue: Volume:264 Page:1-22
ISSN:0377-0427
Container-title:Journal of Computational and Applied Mathematics
language:en
Short-container-title:Journal of Computational and Applied Mathematics

Author:

Egami Masahiko,Yamazaki Kazutoshi

Funder

Scientific Research (B)

Grant-in-Aid for Young Scientists (B)

Grant-in-Aid for Scientific Research (B)

Publisher

Elsevier BV

Subject

Applied Mathematics,Computational Mathematics

Reference30 articles.

1. Lévy Processes;Bertoin,1996

2. Fluctuation Theory for Lévy Processes;Doney,2007

3. Introductory Lectures on Fluctuations of Lévy Processes with Applications;Kyprianou,2006

4. The theory of scale functions for spectrally negative Lévy processes;Kuznetsov,2013

5. Evaluating scale functions of spectrally negative Lévy processes;Surya;J. Appl. Probab.,2008

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