On q-scale functions of spectrally negative Lévy processes
| Autor: | Anita Behme, David Oechsler, René Schilling |
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| Rok vydání: | 2022 |
| Předmět: | |
| Zdroj: | Advances in Applied Probability. 55:56-84 |
| ISSN: | 1475-6064 0001-8678 |
| Popis: | We obtain series expansions of the q-scale functions of arbitrary spectrally negative Lévy processes, including processes with infinite jump activity, and use these to derive various new examples of explicit q-scale functions. Moreover, we study smoothness properties of the q-scale functions of spectrally negative Lévy processes with infinite jump activity. This complements previous results of Chan et al. (Prob. Theory Relat. Fields150, 2011) for spectrally negative Lévy processes with Gaussian component or bounded variation. |
| Databáze: | OpenAIRE |
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