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2008 Special, conjugate and complete scale functions for spectrally negative Lévy processes
Andreas Kyprianou, Victor Rivero
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Electron. J. Probab. 13: 1672-1701 (2008). DOI: 10.1214/EJP.v13-567

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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Andreas Kyprianou. Victor Rivero. "Special, conjugate and complete scale functions for spectrally negative Lévy processes." Electron. J. Probab. 13 1672 - 1701, 2008. https://doi.org/10.1214/EJP.v13-567

Information

Accepted: 21 September 2008; Published: 2008
First available in Project Euclid: 1 June 2016

zbMATH: 1193.60064
MathSciNet: MR2448127
Digital Object Identifier: 10.1214/EJP.v13-567

Subjects:
Primary: 60G51
Secondary: 60J45

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