Numerical computation of hitting time distributions of increasing Levy processes

We introduce a method for computation of hitting time distribution of an increasing Levy process using the inverse Fourier transform and the Hilbert transform under the assumption that the characteristic function of the process is given. Its efficiency is demonstrated by the Kolmogorov-Smirnov test. (C) 2016 Elsevier B.V. All rights reserved.
Publisher
ELSEVIER SCIENCE BV
Issue Date
2016-12
Language
ENG
Citation

STATISTICS & PROBABILITY LETTERS, v.119, pp.289 - 294

ISSN
0167-7152
DOI
10.1016/j.spl.2016.08.013
URI
http://hdl.handle.net/10203/213477
Appears in Collection
MA-Journal Papers(저널논문)
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