Article ID | Journal | Published Year | Pages | File Type |
---|---|---|---|---|
4638915 | Journal of Computational and Applied Mathematics | 2014 | 22 Pages |
Abstract
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.
Keywords
Related Topics
Physical Sciences and Engineering
Mathematics
Applied Mathematics
Authors
Masahiko Egami, Kazutoshi Yamazaki,