On q-scale functions of spectrally negative Lévy processes

DOI10.1017/APR.2022.10zbMATH Open1527.60034arXiv2109.09359OpenAlexW3199193247WikidataQ113858383 ScholiaQ113858383MaRDI QIDQ6043460FDOQ6043460

Authors: Anita Behme, R. L. Schilling 

Publication date: 5 May 2023

Published in: Advances in Applied Probability (Search for Journal in Brave)

Abstract: We obtain series expansions of the $q$-scale functions of arbitrary spectrally negative L'evy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit $q$-scale functions. Moreover, we study smoothness properties of the $q$-scale functions of spectrally negative L'evy processes with infinite jump activity. This complements previous results of Chan et al. [7] for spectrally negative L'evy processes with Gaussian component or bounded variation.

Full work available at URL: https://arxiv.org/abs/2109.09359

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zbMATH Keywords

Laplace transformsmoothnessBernstein functionsseries expansionsVolterra equationsspectrally one-sided Lévy processes\(q\)-scale functionsDoney's conjecture

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Actuarial mathematics (91G05) Probabilistic potential theory (60J45)

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Cited In (5)

• A note on series representation for the \(q\)-scale function of a class of spectrally negative Lévy processes
• TheW,Zscale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
• Title not available (Why is that?)
• Generalized scale functions for spectrally negative Lévy processes
• On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications

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