Phase-type fitting of scale functions for spectrally negative Lévy processes
Phase-type fitting of scale functions for spectrally negative Lévy processes
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DOI：
10.1016/j.cam.2013.12.044
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发表时间：
2010-05
期刊：
影响因子：
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通讯作者：
Masahiko Egami;K. Yamazaki
中科院分区：
文献类型：
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作者：
Masahiko Egami;K. Yamazaki
研究了谱负相型Lévy过程的标度函数。它的标度函数有解析表达式，它的一些涨落恒等式也有解析表达式。基于相型分布类在所有正值分布类中是稠密的这一事实，我们提出了一种新的方法来逼近一般谱负Lévy过程的尺度函数和相关的涨落恒等式.数值例子说明了该近似方法的有效性。
We study the scale function of the spectrally negative phase-type Lévy process. Its scale function admits an analytical expression and so do a number of its fluctuation identities. Motivated by the fact that the class of phase-type distributions is dense in the class of all positive-valued distributions, we propose a new approach to approximating the scale function and the associated fluctuation identities for a general spectrally negative Lévy process. Numerical examples are provided to illustrate the effectiveness of the approximation method.