Fluctuation theory for Lévy processes with completely monotone jumps

DOI10.1214/19-EJP300MaRDI QIDQ2631866zbMATH OpenOpenAlexFDO

Authors M. Kwaśnicki

Publication date 16 May 2019

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

Full work available at URL https://arxiv.org/abs/1811.06617, https://projecteuclid.org/euclid.ejp/1555034439

zbMATH Keywords

complete Bernstein functionfluctuation theoryLévy processNevanlinna-Pick functionWiener-Hopf factorisation

Mathematics Subject Classification ID

Integration, integrals of Cauchy type, integral representations of analytic functions in the complex plane (30E20) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68) Processes with independent increments; Lévy processes (60G51)

Abstract: We study the Wiener-Hopf factorization for L'evy processes $X_t$ with completely monotone jumps. Extending previous results of L.C.G. Rogers, we prove that the space-time Wiener-Hopf factors are complete Bernstein functions of both the spatial and the temporal variable. As a corollary, we prove complete monotonicity of: (a) the tail of the distribution function of the supremum of $X_t$ up to an independent exponential time; (b) the Laplace transform of the supremum of $X_t$ up to a fixed time $T$, as a function of $T$. The proof involves a detailed analysis of the holomorphic extension of the characteristic exponent $f(xi)$ of $X_t$, including a peculiar structure of the curve along which $f(xi)$ takes real values.

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