On the computation of confluent hypergeometric functions for large imaginary part of parameters b and z
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We present an efficient algorithm for the confluent hypergeometric functions when the imaginary part of b and z is large. The algorithm is based on the steepest descent method, applied to a suitable representation of the confluent hypergeometric functions as a highly oscillatory integral, which is then integrated by using various quadrature methods. The performance of the algorithm is compared with open-source and commercial software solutions with arbitrary precision, and for many cases the algorithm achieves high accuracy in both the real and imaginary parts. Our motivation comes from the need for accurate computation of the characteristic function of the Arcsine distribution or the Beta distribution; the latter being required in several financial applications, for example, modeling the loss given default in the context of portfolio credit risk.
The final publication is available at http://link.springer.com/chapter/10.1007%2F978-3-319-42432-3_30
CitacióNavas, G., Arratia, A. On the computation of confluent hypergeometric functions for large imaginary part of parameters b and z. A: International Conference on Mathematical Software. "Mathematical software - ICMS 2016: 5th International Conference, Berlin, Germany, July 11-14, 2016: proceedings". Berlin: Springer, 2016, p. 241-248.
Versió de l'editorhttp://link.springer.com/chapter/10.1007%2F978-3-319-42432-3_30