Special, Conjugate and Complete Scale Functions for Spectrally Negative Lévy Processes
Following from recent developments in Hubalek and Kyprianou [30] the objective of this paper is to provide further methods for construct- ing new families of scale functions for spectrally negative Lévy pro- cesses which are completely explicit. This is the result of an obser- vation in the aforemen...
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| Tipo de recurso: | informe técnico |
| Estado: | Versión publicada |
| Fecha de publicación: | 2008 |
| País: | México |
| Institución: | Centro de Investigación en Matemáticas |
| Repositorio: | Repositorio Institucional CIMAT |
| Idioma: | inglés |
| OAI Identifier: | oai:cimat.repositorioinstitucional.mx:1008/615 |
| Acceso en línea: | http://cimat.repositorioinstitucional.mx/jspui/handle/1008/615 |
| Access Level: | acceso abierto |
| Palabra clave: | info:eu-repo/classification/MSC/Procesos de Levy info:eu-repo/classification/cti/1 info:eu-repo/classification/cti/12 info:eu-repo/classification/cti/1208 info:eu-repo/classification/cti/120806 |
| Sumario: | Following from recent developments in Hubalek and Kyprianou [30] the objective of this paper is to provide further methods for construct- ing new families of scale functions for spectrally negative Lévy pro- cesses which are completely explicit. This is the result of an obser- vation 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 de- livers still more explicit examples than those listed. |
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