Evaluating Scale Functions of Spectrally Negative Lévy Processes

By Budhi Arta Surya. 2008

77 citations recorded by the source corpus.

Subfields: Finance, Management Science and Operations Research, Mathematical Physics

View Paper: https://www.semanticscholar.org/paper/ce1d03ee94a21388e7dd4d5ee7d394e11cb0e96b

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Citations in the corpus

Refracted Lévy processes (2008, methodology): “For the cases where no explicit formula is known for the scale function, [27] and [31] advocate simple methods of numerical Laplace inversion.”
The Theory of Scale Functions for Spectrally Negative Lévy Processes (2011, methodology): “Surya [99] presents an algorithm for evaluating the scale function using exponential dampening followed by Laplace inversion; the latter performed in a similar way as Rogers [89].”
Distributional Study of De Finetti's Dividend Problem for a General Lévy Insurance Risk Process (2007, background): “There are few examples for which the scale function is known in explicit form (although Rogers (2000) and Surya (2006) have developed methods to numerically invert the Laplace transform in (2)).”
An Insurance Risk Model with Parisian Implementation Delays (2013, unknown): “, Hubalek and Kyprianou (2010), Kyprianou and Rivero (2008), as well as the numerical algorithm developed by Surya (2008). Furthermore, mixed Erlang distributions are known to be a very large and flexible class of distributions for modelling purposes (see Willmot and Woo (2007)).”
An Optimal Dividends Problem with a Terminal Value for Spectrally Negative Lévy Processes with a Completely Monotone Jump Density (2009, methodology): “In case no explicit formula for the scale function exists, we can use numerical methods, as described in [25], to invert the Laplace transform of the scale function.”
An optimal dividends problem with transaction costs for spectrally negative Lévy processes (2009, unknown): “In case no explicit formula for the scale function exists, one can use numerical methods as described in [26] to invert the Laplace transform of the scale function.”
OCCUPATION TIMES OF SPECTRALLY NEGATIVE LÉVY PROCESSES WITH APPLICATIONS (2010, unknown): “Further information, examples, and numerical techniques related to the computation of scale functions can be found in [4,9,13,16,21].”
General tax Structures and the Lévy Insurance Risk Model (2009, methodology): “Surya [22] gave recipes for evaluating scale functions numerically.”
A note on scale functions and the time value of ruin for Levy insurance risk processes (2010, unknown): “Rogers (2000) and Surya (2008) have provided robust methods for numerically computing scale functions.”