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2011 (Non)Differentiability and Asymptotics for Potential Densities of Subordinators
Leif Döring, Mladen Savov
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Electron. J. Probab. 16: 470-503 (2011). DOI: 10.1214/EJP.v16-860

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.

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Leif Döring. Mladen Savov. "(Non)Differentiability and Asymptotics for Potential Densities of Subordinators." Electron. J. Probab. 16 470 - 503, 2011. https://doi.org/10.1214/EJP.v16-860

Information

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

zbMATH: 1226.60115
MathSciNet: MR2781843
Digital Object Identifier: 10.1214/EJP.v16-860

Subjects:
Primary: 60J75
Secondary: 60K99

JOURNAL ARTICLE
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Vol.16 • 2011
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