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Special, conjugate and complete scale functions for spectrally negative Lévy processes


Reference:

Kyprianou, A. and Rivero, V., 2008. Special, conjugate and complete scale functions for spectrally negative Lévy processes. Electronic Journal of Probability, 13, pp. 1672-1701.

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Official URL:

http://dx.doi.org/10.1214/EJP.v13-567

Abstract

Following from recent developments in Hubalek and Kyprianou [28], the objective of this paper is to provide further methods for constructing new families of scale functions for spectrally negative Lévy processes which are completely explicit. This is the result of an observation in the aforementioned paper which permits feeding the theory of Bernstein functions directly into the Wiener-Hopf factorization for spectrally negative Lévy processes. Many new, concrete examples of scale functions are offered although the methodology in principle delivers still more explicit examples than those listed.

Details

Item Type Articles
CreatorsKyprianou, A.and Rivero, V.
DOI10.1214/EJP.v13-567
DepartmentsFaculty of Science > Mathematical Sciences
RefereedYes
StatusPublished
ID Code24217

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