Abstract
In this chapter it is pointed out how to numerically evaluate fluctuation-theoretic quantities. Many results presented in this book are in terms of transforms, and fast and accurate algorithms are available to numerically invert these. We describe two intrinsically different approaches. In the first, jumps in one direction are approximated by a phase-type random variable, thus allowing (semi-)explicit evaluation of the Wiener–Hopf factors. The second approach numerically evaluates (by repeated inversion) the Wiener–Hopf factors.
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Dębicki, K., Mandjes, M. (2015). Computational Aspects: Inversion Techniques. In: Queues and Lévy Fluctuation Theory. Universitext. Springer, Cham. https://doi.org/10.1007/978-3-319-20693-6_16
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DOI: https://doi.org/10.1007/978-3-319-20693-6_16
Publisher Name: Springer, Cham
Print ISBN: 978-3-319-20692-9
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