14 citations · 33 across the 15 of their papers we have counts for
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Orthogonal gamma-based expansion for the CIR's first passage time distribution
Elvira Di Nardo, Giuseppe D'Onofrio, Tommaso Martini
In this paper we analyze a method for approximating the first-passage time density and the corresponding distribution function for a CIR process. This approximation is obtained by…
Approximating the first passage time density from data using generalized Laguerre polynomials
Elvira Di Nardo, Giuseppe D'Onofrio, Tommaso Martini
This paper analyzes a method to approximate the first passage time probability density function which turns to be particularly useful if only sample data are available. The method…
Multivariate time-space harmonic polynomials: a symbolic approach
E. Di Nardo, I. Oliva
By means of a symbolic method, in this paper we introduce a new family of multivariate polynomials such that multivariate Lévy processes can be dealt with as they were martingales.…
On some applications of a symbolic representation of non-centered Lévy processes
E. Di Nardo, I. Oliva
By using a symbolic technique known in the literature as the classical umbral calculus, we characterize two classes of polynomials related to Lévy processes: the Kailath-Segall and…
A new family of time-space harmonic polynomials with respect to Lévy processes
E. Di Nardo, I. Oliva
By means of a symbolic method, a new family of time-space harmonic polynomials with respect to Lévy processes is given. The coefficients of these polynomials involve a formal expre…