IDEAS home Printed from https://ideas.repec.org/p/tiu/tiutis/6c859c40-8d0b-4b3b-9526-a9934eb62446.html
   My bibliography  Save this paper

On the Numerical Inversion of Busy-Period Related Transforms

Author

Listed:
  • Blanc, J.P.C.

    (Tilburg University, School of Economics and Management)

Abstract

No abstract is available for this item.

Suggested Citation

  • Blanc, J.P.C., 2001. "On the Numerical Inversion of Busy-Period Related Transforms," Other publications TiSEM 6c859c40-8d0b-4b3b-9526-a, Tilburg University, School of Economics and Management.
    • Handle: RePEc:tiu:tiutis:6c859c40-8d0b-4b3b-9526-a9934eb62446
    as

    Download full text from publisher

    File URL: https://pure.uvt.nl/ws/portalfiles/portal/539526/59.pdf
    Download Restriction: no
    ---><---

    Other versions of this item:

    References listed on IDEAS

    as
    1. Joseph Abate & Ward Whitt, 1995. "Numerical Inversion of Laplace Transforms of Probability Distributions," INFORMS Journal on Computing, INFORMS, vol. 7(1), pages 36-43, February.
    Full references (including those not matched with items on IDEAS)

    Citations

    Citations are extracted by the CitEc Project, subscribe to its RSS feed for this item.
    as


    Cited by:

    1. J.P.C. Blanc, 2002. "Computation of Autocorrelations of Interdeparture Times by Numerical Transform Inversion," Annals of Operations Research, Springer, vol. 112(1), pages 83-100, April.

    Most related items

    These are the items that most often cite the same works as this one and are cited by the same works as this one.
    1. Jonathan K. Budd & Peter G. Taylor, 2015. "Calculating optimal limits for transacting credit card customers," Papers 1506.05376, arXiv.org, revised Aug 2015.
    2. Dassios, Angelos & Lim, Jia Wei, 2013. "Parisian option pricing: a recursive solution for the density of the Parisian stopping time," LSE Research Online Documents on Economics 58985, London School of Economics and Political Science, LSE Library.
    3. Dassios, Angelos & Qu, Yan & Zhao, Hongbiao, 2018. "Exact simulation for a class of tempered stable," LSE Research Online Documents on Economics 86981, London School of Economics and Political Science, LSE Library.
    4. Feng, Runhuan & Volkmer, Hans W., 2012. "Modeling credit value adjustment with downgrade-triggered termination clause using a ruin theoretic approach," Insurance: Mathematics and Economics, Elsevier, vol. 51(2), pages 409-421.
    5. Dell'Era Mario, M.D., 2008. "Pricing of the European Options by Spectral Theory," MPRA Paper 17429, University Library of Munich, Germany.
    6. Chenxu Li, 2016. "Bessel Processes, Stochastic Volatility, And Timer Options," Mathematical Finance, Wiley Blackwell, vol. 26(1), pages 122-148, January.
    7. Richard L. Warr & Cason J. Wight, 2020. "Error Bounds for Cumulative Distribution Functions of Convolutions via the Discrete Fourier Transform," Methodology and Computing in Applied Probability, Springer, vol. 22(3), pages 881-904, September.
    8. Yera, Yoel G. & Lillo, Rosa E. & Ramírez-Cobo, Pepa, 2019. "Fitting procedure for the two-state Batch Markov modulated Poisson process," European Journal of Operational Research, Elsevier, vol. 279(1), pages 79-92.
    9. He, Gang & Wu, Wenqing & Zhang, Yuanyuan, 2018. "Analysis of a multi-component system with failure dependency, N-policy and vacations," Operations Research Perspectives, Elsevier, vol. 5(C), pages 191-198.
    10. Shu, Yin & Feng, Qianmei & Liu, Hao, 2019. "Using degradation-with-jump measures to estimate life characteristics of lithium-ion battery," Reliability Engineering and System Safety, Elsevier, vol. 191(C).
    11. David H Collins & Richard L Warr & Aparna V Huzurbazar, 2013. "An introduction to statistical flowgraph models for engineering systems," Journal of Risk and Reliability, , vol. 227(5), pages 461-470, October.
    12. C. E. Phelan & D. Marazzina & G. Germano, 2020. "Pricing methods for α-quantile and perpetual early exercise options based on Spitzer identities," Quantitative Finance, Taylor & Francis Journals, vol. 20(6), pages 899-918, June.
    13. Harrison, Peter G., 2024. "On the numerical solution of functional equations with application to response time distributions," Applied Mathematics and Computation, Elsevier, vol. 472(C).
    14. Jos� Carlos Dias & João Pedro Vidal Nunes & João Pedro Ruas, 2015. "Pricing and static hedging of European-style double barrier options under the jump to default extended CEV model," Quantitative Finance, Taylor & Francis Journals, vol. 15(12), pages 1995-2010, December.
    15. Leonenko, G.M., 2009. "A new formula for the transient solution of the Erlang queueing model," Statistics & Probability Letters, Elsevier, vol. 79(3), pages 400-406, February.
    16. Joseph Abate & Ward Whitt, 1999. "Computing Laplace Transforms for Numerical Inversion Via Continued Fractions," INFORMS Journal on Computing, INFORMS, vol. 11(4), pages 394-405, November.
    17. Dassios, Angelos & Zhang, You You, 2016. "The joint distribution of Parisian and hitting times of the Brownian motion with application to Parisian option pricing," LSE Research Online Documents on Economics 64959, London School of Economics and Political Science, LSE Library.
    18. Dirk Becherer & Todor Bilarev & Peter Frentrup, 2018. "Optimal liquidation under stochastic liquidity," Finance and Stochastics, Springer, vol. 22(1), pages 39-68, January.
    19. John F. Shortle & Martin J. Fischer & Percy H. Brill, 2007. "Waiting-Time Distribution of M/D N /1 Queues Through Numerical Laplace Inversion," INFORMS Journal on Computing, INFORMS, vol. 19(1), pages 112-120, February.
    20. Jeffrey P. Kharoufeh & Natarajan Gautam, 2004. "A fluid queueing model for link travel time moments," Naval Research Logistics (NRL), John Wiley & Sons, vol. 51(2), pages 242-257, March.

    More about this item

    JEL classification:

    Statistics

    Access and download statistics

    Corrections

    All material on this site has been provided by the respective publishers and authors. You can help correct errors and omissions. When requesting a correction, please mention this item's handle: RePEc:tiu:tiutis:6c859c40-8d0b-4b3b-9526-a9934eb62446. See general information about how to correct material in RePEc.

    If you have authored this item and are not yet registered with RePEc, we encourage you to do it here. This allows to link your profile to this item. It also allows you to accept potential citations to this item that we are uncertain about.

    If CitEc recognized a bibliographic reference but did not link an item in RePEc to it, you can help with this form .

    If you know of missing items citing this one, you can help us creating those links by adding the relevant references in the same way as above, for each refering item. If you are a registered author of this item, you may also want to check the "citations" tab in your RePEc Author Service profile, as there may be some citations waiting for confirmation.

    For technical questions regarding this item, or to correct its authors, title, abstract, bibliographic or download information, contact: Richard Broekman (email available below). General contact details of provider: https://www.tilburguniversity.edu/about/schools/economics-and-management/ .

    Please note that corrections may take a couple of weeks to filter through the various RePEc services.

    IDEAS is a RePEc service. RePEc uses bibliographic data supplied by the respective publishers.