Numerical computation of hitting time distributions of increasing Levy processes

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dc.contributor.authorChoe, Geon Hoko
dc.contributor.authorLee, Dong Minko
dc.date.accessioned2016-11-09T02:32:45Z-
dc.date.available2016-11-09T02:32:45Z-
dc.date.created2016-10-04-
dc.date.created2016-10-04-
dc.date.issued2016-12-
dc.identifier.citationSTATISTICS & PROBABILITY LETTERS, v.119, pp.289 - 294-
dc.identifier.issn0167-7152-
dc.identifier.urihttp://hdl.handle.net/10203/213477-
dc.description.abstractWe 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.languageEnglish-
dc.publisherELSEVIER SCIENCE BV-
dc.titleNumerical computation of hitting time distributions of increasing Levy processes-
dc.typeArticle-
dc.identifier.wosid000386420800037-
dc.identifier.scopusid2-s2.0-84988419928-
dc.type.rimsART-
dc.citation.volume119-
dc.citation.beginningpage289-
dc.citation.endingpage294-
dc.citation.publicationnameSTATISTICS & PROBABILITY LETTERS-
dc.identifier.doi10.1016/j.spl.2016.08.013-
dc.contributor.localauthorChoe, Geon Ho-
dc.type.journalArticleArticle-
dc.subject.keywordAuthorLevy process-
dc.subject.keywordAuthorHitting time-
dc.subject.keywordAuthorCharacteristic function-
dc.subject.keywordAuthorHilbert transform-
dc.subject.keywordAuthorSinc expansion-
dc.subject.keywordAuthorLambert function-
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MA-Journal Papers(저널논문)
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