S. Boyarchenko

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20042025

most citedPractical guide to real options in discrete time

1 citations · 1 across the 20 of their papers we have counts for

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math.PR2023

Efficient evaluation of joint pdf of a Lévy process, its extremum, and hitting time of the extremum

Svetlana Boyarchenko, Sergei Levendorskii

For Lévy processes with exponentially decaying tails of the Lévy density, we derive integral representations for the joint cpdf $V$ of $(X_{T}, X ˉ_{T}, τ_{T})$ (the process, its supre…

math.PR2023

Efficient inverse $Z$ -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 $Z$ -transform. For large $n$ , the complexity of the new…

Efficient evaluation of joint pdf of a Lévy process, its extremum, and hitting time of the extremum

Efficient inverse Z-transform: sufficient conditions

Efficient inverse $Z$ -transform: sufficient conditions