(Non)Differentiability and asymptotics for potential densities of subordinators

MaRDI QIDQ638395zbMATH OpenFDO

Authors Leif Döring, Mladen Savov

Publication date 9 September 2011

Published in Electronic Journal of Probability (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1106.5680, http://www.emis.de/journals/EJP-ECP/_ejpecp/viewarticle8386.html

Mathematics Subject Classification ID

Special processes (60K99)

Abstract: For subordinators with positive drift we extend recent results on the structure of the potential measures and the renewal densities. Applying Fourier analysis a new representation of the potential densities is derived from which we deduce asymptotic results and show how the atoms of the Levy measure translate into points of (non)smoothness.

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(13)

• Fractal-dimensional properties of subordinators
• Some remarks on special subordinators
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Asymptotics for densities of exponential functionals of subordinators
• Optimal Stopping for Exponential Lévy Models with Weighted Discounting
• On q-scale functions of spectrally negative Lévy processes
• scientific article; zbMATH DE number 6307855 (Why is no real title available?)
• Space-time boundedness and asymptotic behaviors of the densities of \textit{CME}-subordinators
• Estimates on transition densities of subordinators with jumping density decaying in mixed polynomial orders
• Kesten's bound for subexponential densities on the real line and its multi-dimensional analogues
• Bernstein-gamma functions and exponential functionals of Lévy processes
• Regularity and asymptotics of densities of inverse subordinators
• TRANSITION DENSITIES OF SUBORDINATORS OF POSITIVE ORDER

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