On q-scale functions of spectrally negative Lévy processes

Research output: Contribution to journalResearch articleContributedpeer-review

Contributors

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

Original languageEnglish
Pages (from-to)56 - 84
Number of pages29
JournalAdvances in Applied Probability
Volume55
Issue number1
Early online date2022
Publication statusPublished - 2 Mar 2023
Peer-reviewedYes

External IDs

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

Keywords

Keywords

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

Library keywords