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(Non)Differentiability and Asymptotics for Potential Densities of Subordinators


 
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1. Title Title of document (Non)Differentiability and Asymptotics for Potential Densities of Subordinators
 
2. Creator Author's name, affiliation, country Leif Döring; Technische Universität Berlin; Germany
 
2. Creator Author's name, affiliation, country Mladen Savov; Oxford University; United Kingdom
 
3. Subject Discipline(s)
 
3. Subject Keyword(s) Levy process, Subordinator, Creeping Probability, Renewal Density, Potential Measure
 
3. Subject Subject classification Primary 60J75; Secondary 60K99
 
4. Description Abstract For subordinators with positive drift we extend recent results on the structure of the potential measures and the renewal densities. Applying Fourier analysis a new representation of the potential densities is derived from which we deduce asymptotic results and show how the atoms of the Lévy measure translate into points of (non)differentiability of the potential densities.
 
5. Publisher Organizing agency, location
 
6. Contributor Sponsor(s) EPSRC grant EP/E010989/1
 
7. Date (YYYY-MM-DD) 2011-03-17
 
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/860
 
10. Identifier Digital Object Identifier 10.1214/EJP.v16-860
 
11. Source Journal/conference title; vol., no. (year) Electronic Journal of Probability; Vol 16
 
12. Language English=en
 
14. Coverage Geo-spatial location, chronological period, research sample (gender, age, etc.)
 
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