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

被引：52
|
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
收藏
页码：1 / 22
页数：22
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