On q-scale functions of spectrally negative Lévy processes
Research output: Contribution to journal › Research article › Contributed › peer-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 language | English |
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Pages (from-to) | 56 - 84 |
Number of pages | 29 |
Journal | Advances in Applied Probability |
Volume | 55 |
Issue number | 1 |
Early online date | 2022 |
Publication status | Published - 2 Mar 2023 |
Peer-reviewed | Yes |
External IDs
unpaywall | 10.1017/apr.2022.10 |
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Mendeley | 776ccf75-dca8-3465-bc5f-f2f281e9e342 |
Scopus | 85148485639 |
ORCID | /0000-0002-9999-7589/work/142238029 |
Keywords
ASJC Scopus subject areas
Keywords
- Bernstein functions, Doney's conjecture, Laplace transform, Volterra equations, q-scale functions, series expansions, smoothness, spectrally one-sided Lévy processes