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Numerical computation of the distribution of the supremum functional
Let be a Lévy process with LévyKhintchin 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
Posted in numerical math
Tagged complete Bernstein function, levy process, Mathematica, Numerical maths, Supremum
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π/2 conjecture
The second conjecture in this blog is related to my recent work on Lévy processes. Suppose that x and y are positive reals, and is an increasing function. Then, whenever the integral makes sense, it is equal to . Although … Continue reading
Posted in open problems
Tagged Bernstein function, conjecture, integral, levy process, pi
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