The paper focuses on an approximation of the first passage time probability density function
of a Feller stochastic process by using cumulants and a Laguerre-Gamma polynomial …

We consider the problem of the first passage time T of an inhomogeneous geometric
Brownian motion through a constant threshold, for which only limited results are available in …

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 …

We consider Feller processes whose generators have the test functions as an operator core.
In this case, the generator is a pseudo differential operator with negative definite symbol q …

The utility of the classical Karhunen‐Loève expansion of a second order process is limited to
its practical derivation, because it depends upon the solution of a Fredholm integral …

We present a robust method for simulating an increment of a Levy process, based on
decomposing the jump part of the process into the sum of its positive and negative jump …

In the present paper, we justify the convergence formulas for approximate Wiener--Hopf
factorization to exact formulas for factors from a broad class of Lévy processes. Another …

This paper provides a general and abstract approach to compute invariant distributions for
Feller processes. More precisely, we show that the recursive algorithm presented in …

In this paper we consider the class of Lévy processes that can be written as a Brownian
motion time changed by an independent Lévy subordinator. Examples in this class include …

Diffusion models have been thoroughly studied for their use in seeking stochastic differential
equation (SDE) solutions and investigating their properties, such as moments and …