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What is Inversion of Fourier Transforms Method about?

This document summarizes a method for approximating the density function of a Lévy process using Fourier transforms and fundamental sk-splines. The method represents the density function as a sum of Fourier transforms of the characteristic function weighted by fundamental sk-splines. An approximant for the density function is proposed as a finite sum of these terms. An example applying the method to a Gaussian density function is also provided to illustrate the approach.

Author

MediRahmad

Language

EN