The Theory of Scale Functions for Spectrally Negative Lévy Processes
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Publication:3143840
DOI10.1007/978-3-642-31407-0_2zbMath1261.60047arXiv1104.1280MaRDI QIDQ3143840
Andreas E. Kyprianou, Alexey Kuznetsov, Víctor Manuel Rivero
Publication date: 4 December 2012
Published in: Lévy Matters II (Search for Journal in Brave)
Full work available at URL: https://arxiv.org/abs/1104.1280
Laplace transform; excursion theory; fluctuation theory; first passage problem; scale functions; spectrally negative Lévy process
60G51: Processes with independent increments; Lévy processes
91B70: Stochastic models in economics
60G40: Stopping times; optimal stopping problems; gambling theory
60J45: Probabilistic potential theory
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