Special, conjugate and complete scale functions for spectrally negative Levy processes

被引:32
|
作者
Kyprianou, A. E. [1 ]
Rivero, V. [2 ]
机构
[1] Univ Bath, Dept Math Sci, Bath BA2 7AY, Avon, England
[2] Ctr Invest Matemat AC, Guanajuato 36240, Gto, Mexico
来源
基金
英国工程与自然科学研究理事会;
关键词
Potential theory for subordinators; Scale functions; Special subordinators; Spectrally negative Levy processes;
D O I
10.1214/EJP.v13-567
中图分类号
O21 [概率论与数理统计]; C8 [统计学];
学科分类号
020208 ; 070103 ; 0714 ;
摘要
Following 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 Levy processes which are completely explicit. This will follow as a consequence of an observation in the aforementioned paper which permits feeding the theory of Bernstein functions directly into the Wiener-Hopf factorization for spectrally negative Levy processes. Many new, concrete examples of scale functions are offered although the methodology in principle delivers still more explicit examples than those listed here.
引用
收藏
页码:1672 / 1701
页数:30
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