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.
机构:
Covea Finance, Quantitat Res Team, 8-12 Rue Boissy dAnglas, F-75008 Paris, FranceCovea Finance, Quantitat Res Team, 8-12 Rue Boissy dAnglas, F-75008 Paris, France
机构:
Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R ChinaHunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China
Huang, Xuan
Zhou, Jieming
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机构:
Hunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China
Hunan Normal Univ, Coll Hunan Prov, Sch Math & Stat, Key Lab Appl Stat & Data Sci, Changsha 410081, Hunan, Peoples R ChinaHunan Normal Univ, Sch Math & Stat, MOE LCSM, Changsha 410081, Hunan, Peoples R China