Numerical computation of hitting time distributions of increasing Levy processes
| DC Field | Value | Language |
|---|---|---|
| dc.contributor.author | Choe, Geon Ho | ko |
| dc.contributor.author | Lee, Dong Min | ko |
| dc.date.accessioned | 2016-11-09T02:32:45Z | - |
| dc.date.available | 2016-11-09T02:32:45Z | - |
| dc.date.created | 2016-10-04 | - |
| dc.date.created | 2016-10-04 | - |
| dc.date.issued | 2016-12 | - |
| dc.identifier.citation | STATISTICS & PROBABILITY LETTERS, v.119, pp.289 - 294 | - |
| dc.identifier.issn | 0167-7152 | - |
| dc.identifier.uri | http://hdl.handle.net/10203/213477 | - |
| dc.description.abstract | 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. | - |
| dc.language | English | - |
| dc.publisher | ELSEVIER SCIENCE BV | - |
| dc.title | Numerical computation of hitting time distributions of increasing Levy processes | - |
| dc.type | Article | - |
| dc.identifier.wosid | 000386420800037 | - |
| dc.identifier.scopusid | 2-s2.0-84988419928 | - |
| dc.type.rims | ART | - |
| dc.citation.volume | 119 | - |
| dc.citation.beginningpage | 289 | - |
| dc.citation.endingpage | 294 | - |
| dc.citation.publicationname | STATISTICS & PROBABILITY LETTERS | - |
| dc.identifier.doi | 10.1016/j.spl.2016.08.013 | - |
| dc.contributor.localauthor | Choe, Geon Ho | - |
| dc.type.journalArticle | Article | - |
| dc.subject.keywordAuthor | Levy process | - |
| dc.subject.keywordAuthor | Hitting time | - |
| dc.subject.keywordAuthor | Characteristic function | - |
| dc.subject.keywordAuthor | Hilbert transform | - |
| dc.subject.keywordAuthor | Sinc expansion | - |
| dc.subject.keywordAuthor | Lambert function | - |
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