On q-scale functions of spectrally negative Lévy processes

DOI10.1017/APR.2022.10MaRDI QIDQ6043460zbMATH OpenOpenAlexWikidataFDO

Authors Anita Behme, R. L. Schilling

Publication date 5 May 2023

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

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

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)

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.

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Cited in

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