Generalized scale functions of standard processes with no positive jumps

DOI10.1214/20-ECP289MaRDI QIDQ2183146zbMATH OpenOpenAlexFDO

Authors K. Noba

Publication date 26 May 2020

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

Full work available at URL https://arxiv.org/abs/1711.08194, https://projecteuclid.org/euclid.ecp/1580266866

zbMATH Keywords

scale functionstandard processexcursion theoryspectrally negative Lévy process

Mathematics Subject Classification ID

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

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.

Recommendations

• The theory of scale functions for spectrally negative Lévy processes
• Old and new examples of scale functions for spectrally negative Lévy processes
• Special, conjugate and complete scale functions for spectrally negative Lévy processes
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• The scale function and generalized Dickson's formula for the spectrally negative Lévy process

Cites work

• scientific article; zbMATH DE number 3780265 (Why is no real title available?)
• scientific article; zbMATH DE number 1349990 (Why is no real title available?)
• scientific article; zbMATH DE number 3446162 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 3272022 (Why is no real title available?)
• Excursion measure away from an exit boundary of one-dimensional diffusion processes
• Fluctuations of Lévy processes with applications. Introductory lectures
• Generalized refracted Lévy process and its application to exit problem
• Markov Processes, Brownian Motion, and Time Symmetry
• Mesures Associees Aux Fonctionnelles Additives de Markov. I
• Occupation densities
• On the Itô excursion process
• Poisson point processes and their application to Markov processes. With a foreword by Shinzo Watanabe and Ichiro Shigekawa
• Refracted Lévy processes
• Spectrally negative Lévy processes with Parisian reflection below and classical reflection above
• Séminaire de Probabilités XXXVIII
• The excursion measure away from zero for spectrally negative Lévy processes
• The theory of scale functions for spectrally negative Lévy processes

Cited in

(5)

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

This page was built for publication: Generalized scale functions of standard processes with no positive jumps

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q2183146)