M. Veillette

activity

20092024

most citedProperties and numerical evaluation of the Rosenblatt distribution

66 citations · 91 across the 8 of their papers we have counts for

collaborators

Showing 2009 · math.PRShow all

2 papers · 2 filters

math.PR2009

Using Differential Equations to Obtain Joint Moments of First-Passage Times of Increasing Levy Processes

Mark S. Veillette, Murad S. Taqqu

Let ${D (s), s \geq 0}$ be a Lévy subordinator, that is, a non-decreasing process with stationary and independent increments and suppose that $D (0) = 0$ . We study the first-hitti…

math.PR2009

Numerical Computation of First-Passage Times of Increasing Levy Processes

Mark S. Veillette, Murad S. Taqqu

Let ${D (s), s \geq 0}$ be a non-decreasing Lévy process. The first-hitting time process ${E (t) t \geq 0}$ (which is sometimes referred to as an inverse subordinator) defined by…