Showing math.PRShow all
3 papers · 1 filter
math.PR2025
Asymptotics of survival probabilities and lower tail probability problem
Svetlana Boyarchenko, Sergei Levendorskiĭ
The present paper is an addendum to the paper ``Lévy models amenable to efficient calculations", where we introduced a general class of Stieltjes-Lévy processes (SL-processes) and…
math.PR2023
Efficient inverse -transform: sufficient conditions
Svetlana Boyarchenko, Sergei Levendorskiĭ
We derive several sets of sufficient conditions for applicability of the new efficient numerical realization of the inverse -transform. For large , the complexity of the new…
math.PR2022
Lévy models amenable to efficient calculations
Svetlana Boyarchenko, Sergei Levendorskiĭ
In our previous publications (IJTAF 2019, Math. Finance 2020), we introduced a general class of SINH-regular processes and demonstrated that efficient numerical methods for the eva…