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


 
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1. Title Title of document Special, conjugate and complete scale functions for spectrally negative Lévy processes
 
2. Creator Author's name, affiliation, country Andreas E Kyprianou; University of Bath
 
2. Creator Author's name, affiliation, country Victor Rivero; Centro de Investigación en Matemáticas , Mexico
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Potential theory for subordinators, Scale functions, Special subordinators, Spectrally negative Lévy processes
 
3. Subject Subject classification 60G51; 60J45
 
4. Description 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.
 
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7. Date (YYYY-MM-DD) 2008-09-21
 
8. Type Status & genre Peer-reviewed Article
 
8. Type Type
 
9. Format File format PDF
 
10. Identifier Uniform Resource Identifier http://ejp.ejpecp.org/article/view/567
 
10. Identifier Digital Object Identifier 10.1214/EJP.v13-567
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 13
 
12. Language English=en
 
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