Old and new examples of scale functions for spectrally negative Lévy processes

DOI10.1007/978-3-0348-0021-1_8zbMATH Open1274.60148arXiv0801.0393OpenAlexW1495369116MaRDI QIDQ2904873FDOQ2904873

Authors: Friedrich Hubalek, E. K. Kyprianou 

Publication date: 24 August 2012

Published in: Seminar on Stochastic Analysis, Random Fields and Applications VI (Search for Journal in Brave)

Abstract: We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Levy processes. From this we introduce a general method for generating new families of scale functions. Using this method we introduce a new family of scale functions belonging to the Gaussian Tempered Stable Convolution (GTSC) class. We give particular emphasis to special cases as well as cross-referencing their analytical behaviour against known general considerations.

Full work available at URL: https://arxiv.org/abs/0801.0393

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zbMATH Keywords

Mittag-Leffler functionsscale functionsWiener-Hopf factorizationspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stochastic processes (60G99)

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