On q-scale functions of spectrally negative Lévy processes

Publikation: Beitrag in FachzeitschriftForschungsartikelBeigetragenBegutachtung

Abstract

We obtain series expansions of the q-scale functions of arbitrary spectrally negative Lévy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit q-scale functions. Moreover, we study smoothness properties of the q-scale functions of spectrally negative Lévy processes with infinite jump activity. This complements previous results of Chan et al. (Prob. Theory Relat. Fields150, 2011) for spectrally negative Lévy processes with Gaussian component or bounded variation.

Details

OriginalspracheEnglisch
Seiten (von - bis)56 - 84
Seitenumfang29
FachzeitschriftAdvances in Applied Probability
Jahrgang55
Ausgabenummer1
Frühes Online-Datum2022
PublikationsstatusVeröffentlicht - 2 März 2023
Peer-Review-StatusJa

Externe IDs

unpaywall 10.1017/apr.2022.10
Mendeley 776ccf75-dca8-3465-bc5f-f2f281e9e342
Scopus 85148485639
ORCID /0000-0002-9999-7589/work/142238029

Schlagworte

Schlagwörter

  • Bernstein functions, Doney's conjecture, Laplace transform, Volterra equations, q-scale functions, series expansions, smoothness, spectrally one-sided Lévy processes

Bibliotheksschlagworte