Phase-type fitting of scale functions for spectrally negative Levy processes

被引：53

作者：

Egami, Masahiko ^{[1
]}

Yamazaki, Kazutoshi ^{[2
]}

机构：

[1] Kyoto Univ, Grad Sch Econ, Sakyo Ku, Kyoto 6068501, Japan

[2] Kansai Univ, Dept Math, Fac Engn Sci, Suita, Osaka 5648680, Japan

来源：

JOURNAL OF COMPUTATIONAL AND APPLIED MATHEMATICS | 2014年 / 264卷

基金：

日本学术振兴会;

关键词：

Phase-type models; Spectrally negative Levy processes; Scale functions; DIVIDEND PROBLEM; DISTRIBUTIONS; OPTIONS; EXIT;

D O I：

10.1016/j.cam.2013.12.044

中图分类号：

O29 [应用数学];

学科分类号：

070104 ;

摘要：

We study the scale function of the spectrally negative phase-type Levy 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 Levy process. Numerical examples are provided to illustrate the effectiveness of the approximation method. (C) 2014 Elsevier B.V. All rights reserved.

引用

页码：1 / 22

页数：22

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