Generalized scale functions of standard processes with no positive jumps

DOI10.1214/20-ECP289zbMATH Open1445.60065arXiv1711.08194OpenAlexW3004372384MaRDI QIDQ2183146FDOQ2183146

Authors: K. Noba 

Publication date: 26 May 2020

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Abstract: As a generalization of scale functions of spectrally negative L'evy processes, we define scale functions of general standard processes with no positive jumps. For this purpose, we utilize excursion measures. Using our new scale functions we study Laplace transforms of hitting times, potential measures and duality.

Full work available at URL: https://arxiv.org/abs/1711.08194

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zbMATH Keywords

scale functionstandard processexcursion theory[https://portal.mardi4nfdi.de/w/index.php?title=+Special%3ASearch&search=spectrally+negative+L%EF%BF%BD%EF%BF%BDvy+process&go=Go spectrally negative L��vy process]

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Markov processes (60J99) Probabilistic potential theory (60J45)

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Cited In (4)

• An excursion theoretic approach to Parisian ruin problem
• On q-scale functions of spectrally negative Lévy processes
• Lévy bandits under Poissonian decision times
• Approximation and duality problems of refracted processes

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