Numerical computation of hitting time distributions of increasing Lévy processes

Geon Ho Choe and Dong Min Lee

Statistics & Probability Letters, 2016, vol. 119, issue C, 289-294

Abstract: We introduce a method for computation of hitting time distribution of an increasing Lévy 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.

Keywords: Lévy process; Hitting time; Characteristic function; Hilbert transform; Sinc expansion; Lambert function (search for similar items in EconPapers)
Date: 2016
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Persistent link: https://EconPapers.repec.org/RePEc:eee:stapro:v:119:y:2016:i:c:p:289-294

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DOI: 10.1016/j.spl.2016.08.013

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