Electronic Journal of Probability

(Non)Differentiability and Asymptotics for Potential Densities of Subordinators

Leif Döring and Mladen Savov

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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

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

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

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Mathematical Reviews number (MathSciNet)

Zentralblatt MATH identifier

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

Levy process Subordinator Creeping Probability Renewal Density Potential Measure

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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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