On q-scale functions of spectrally negative Lévy processes
Publikation: Beitrag in Fachzeitschrift › Forschungsartikel › Beigetragen › Begutachtung
Beitragende
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
Originalsprache | Englisch |
---|---|
Seiten (von - bis) | 56 - 84 |
Seitenumfang | 29 |
Fachzeitschrift | Advances in Applied Probability |
Jahrgang | 55 |
Ausgabenummer | 1 |
Frühes Online-Datum | 2022 |
Publikationsstatus | Veröffentlicht - 2 März 2023 |
Peer-Review-Status | Ja |
Externe IDs
unpaywall | 10.1017/apr.2022.10 |
---|---|
Mendeley | 776ccf75-dca8-3465-bc5f-f2f281e9e342 |
Scopus | 85148485639 |
ORCID | /0000-0002-9999-7589/work/142238029 |
Schlagworte
ASJC Scopus Sachgebiete
Schlagwörter
- Bernstein functions, Doney's conjecture, Laplace transform, Volterra equations, q-scale functions, series expansions, smoothness, spectrally one-sided Lévy processes