Electronic Journal of Probability

(Non)Differentiability and Asymptotics for Potential Densities of Subordinators

Leif Döring and Mladen Savov

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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.

Article information

Source
Electron. J. Probab., Volume 16 (2011), paper no. 17, 470-503.

Dates
Accepted: 17 March 2011
First available in Project Euclid: 1 June 2016

Permanent link to this document
https://projecteuclid.org/euclid.ejp/1464820186

Digital Object Identifier
doi:10.1214/EJP.v16-860

Mathematical Reviews number (MathSciNet)
MR2781843

Zentralblatt MATH identifier
1226.60115

Subjects
Primary: 60J75: Jump processes
Secondary: 60K99: None of the above, but in this section

Keywords
Levy process Subordinator Creeping Probability Renewal Density Potential Measure

Rights
This work is licensed under aCreative Commons Attribution 3.0 License.

Citation

Döring, Leif; Savov, Mladen. (Non)Differentiability and Asymptotics for Potential Densities of Subordinators. Electron. J. Probab. 16 (2011), paper no. 17, 470--503. doi:10.1214/EJP.v16-860. https://projecteuclid.org/euclid.ejp/1464820186


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