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Evaluating scale functions of spectrally negative Lévy processes. (English) Zbl 1140.60027
The author presents a robust numerical method to compute the scale function of a general spectrally negative Lévy process. The method is based on Eescher transform. Working with the transformed measure, the author obtains a fast stable numerical algorithm for the computation of the scale function.

60G51 Processes with independent increments; Lévy processes
62P05 Applications of statistics to actuarial sciences and financial mathematics
65T50 Numerical methods for discrete and fast Fourier transforms
Full Text: DOI
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