New families of subordinators with explicit transition probability semigroup
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Publication:404140
DOI10.1016/J.SPA.2014.06.005zbMATH Open1300.60068arXiv1402.1062OpenAlexW2167464952MaRDI QIDQ404140FDOQ404140
M. Kwaśnicki, Alexey Kuznetsov, A. E. Kyprianou, J. Burridge
Publication date: 4 September 2014
Published in: Stochastic Processes and their Applications (Search for Journal in Brave)
Abstract: There exist only a few known examples of subordinators for which the transition probability density can be computed explicitly along side an expression for its L'evy measure and Laplace exponent. Such examples are useful in several areas of applied probability, for example, they are used in mathematical finance for modeling stochastic time change, they appear in combinatorial probability to construct sampling formulae, which in turn is related to a variety of issues in the theory of coalescence models, moreover, they have also been extensively used in the potential analysis of subordinated Brownian motion in dimension greater than or equal to 2. In this paper, we show that Kendall's classic identity for spectrally negative L'evy processes can be used to construct new families of subordinators with explicit transition probability semigroups. We describe the properties of these new subordinators and emphasise some interesting connections with explicit and previously unknown Laplace transform identities and with complete monotonicity properties of certain special functions.
Full work available at URL: https://arxiv.org/abs/1402.1062
Recommendations
gamma functionBessel functionssubordinatorcomplete monotonicityLambert \(W\)-functionexplicit transition densitygeneralized gamma convolutionsKendall identityLaplace transform identity
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Cited In (15)
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- Higher order terms of the spectral heat content for killed subordinate and subordinate killed Brownian motions related to symmetric \(\alpha\)-stable processes in \(\mathbb{R}\)
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