| Article ID | Journal | Published Year | Pages | File Type |
|---|---|---|---|---|
| 7548935 | Statistics & Probability Letters | 2016 | 7 Pages |
Abstract
We introduce a method for computation of hitting time distribution of an increasing Lévy process using the inverse Fourier transform and the Hilbert transform under the assumption that the characteristic function of the process is given. Its efficiency is demonstrated by the Kolmogorov-Smirnov test.
Related Topics
Physical Sciences and Engineering
Mathematics
Statistics and Probability
Authors
Geon Ho Choe, Dong Min Lee,