Category Archives: numerical math

Numerical computation of the distribution of the supremum functional

Let be a Lévy process with Lévy-Khintchin exponent for a complete Bernstein function (some examples below). Let be the supremum functional of . Given some growth condition on , a formula for was given in my recent preprint written with … Continue reading

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Mathematica and hypergeometric functions

Recently I did some numerical experiments in Mathematica involving the hypergeometric function . The results were clearly wrong (a positive-definite matrix having negative eigenvalues, for example), so I spent a couple of hours checking the code. Finally, I discovered a … Continue reading

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