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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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