A note on series representation for the q-scale function of a class of spectrally negative Lévy processes

DOI10.1016/J.SPL.2024.110115MaRDI QIDQ6569448zbMATH OpenFDO

Authors Ehyter Matías Martín-González, A. Murillo-Salas, H. Pantí

Publication date 9 July 2024

Published in Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

series representationsscale functionsspectrally negative Lévy processesDoney's conjecture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

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Cites work

• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• Fluctuations of Lévy processes with applications. Introductory lectures
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions.
• Old and new examples of scale functions for spectrally negative Lévy processes
• On q-scale functions of spectrally negative Lévy processes
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• On series expansions for scale functions and other ruin-related quantities
• On the time to ruin for Erlang(2) risk processes.
• Optimal control with absolutely continuous strategies for spectrally negative Lévy processes
• Ruin probabilities
• Smoothness of scale functions for spectrally negative Lévy processes

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