19 citations · 56 across the 12 of their papers we have counts for
13 papers · 1 filter
Efficient computation of first passage times in Kou's jump-diffusion model
Abdel Belkaid, Frederic Utzet
S. G. Kou and H. Wang [First Passage times of a Jump Diffusion Process \textit{Ann. Appl. Probab.} {\bf 35} (2003) 504--531] give expressions of both the (real) Laplace transform o…
On the norming constants for normal maxima
Armengol Gasull, Maria Jolis, Frederic Utzet
In a remarkable paper, Peter Hall [{\it On the rate of convergence of normal extremes}, J. App. Prob, {\bf 16} (1979) 433--439] proved that the supremum norm distance between the d…
Approximating Mills ratio
Armengol Gasull, Frederic Utzet
Consider the Mills ratio , where is the density function of the standard Gaussian law and its cumulative distribution.We introduce a…
Gaussian Mills ratio is completely monotone
Armengol Gasull, Frederic Utzet
Consider the Mills ratio corresponding to the standard Gaussian law, , where is the density function of this law and its cumulative d…
Local Malliavin Calculus for Lévy Processes and Applications
Jorge A. León, Josep L. Solé, Frederic Utzet +1
In this paper a Malliavin calculus for Lévy processes based on a family of true derivative operators is developed. The starting point is an extension to Lévy processes of the pione…
Inversion of analytic characteristic functions and infinite convolutions of exponential and Laplace densities
Albert Ferreiro-Castilla, Frederic Utzet
We prove that certain quotients of entire functions are characteristic functions. Under some conditions, the probability measure corresponding to a characteristic function of that…