Smoothness of scale functions for spectrally negative Lévy processes

DOI10.1007/S00440-010-0289-4zbMATH Open1259.60050arXiv0903.1467OpenAlexW2063275189MaRDI QIDQ718902FDOQ718902

A. E. Kyprianou, Mladen Savov, Terence Chan

Publication date: 27 September 2011

Published in: Zeitschrift für Wahrscheinlichkeitstheorie und Verwandte Gebiete (Search for Journal in Brave)

Abstract: Scale functions play a central role in the fluctuation theory of spectrally negative L'evy processes and often appear in the context of martingale relations. These relations are often complicated to establish requiring excursion theory in favour of It^o calculus. The reason for the latter is that standard It^o calculus is only applicable to functions with a sufficient degree of smoothness and knowledge of the precise degree of smoothness of scale functions is seemingly incomplete. The aim of this article is to offer new results concerning properties of scale functions in relation to the smoothness of the underlying L'evy measure. We place particular emphasis on spectrally negative L'evy processes with a Gaussian component and processes of bounded variation. An additional motivation is the very intimate relation of scale functions to renewal functions of subordinators. The results obtained for scale functions have direct implications offering new results concerning the smoothness of such renewal functions for which there seems to be very little existing literature on this topic.

Full work available at URL: https://arxiv.org/abs/0903.1467

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zbMATH Keywords

renewal theoryscale functionssubordinatorsspectrally negative Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Probabilistic potential theory (60J45)

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Cited In (85)

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