Efficient evaluation of joint pdf of a L\'evy process, its extremum, and hitting time of the extremum

Svetlana Boyarchenko and Sergei Levendorskii

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Abstract: For L\'evy processes with exponentially decaying tails of the L\'evy density, we derive integral representations for the joint cpdf $V$ of $(X_T, \bar X_T,\tau_T)$ (the process, its supremum evaluated at $T

Date: 2023-12
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