Special, conjugate and complete scale functions for spectrally negative Lévy processes
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 Lévy processes which are completely explicit. This will follow as a consequence of an observation in the afor...
| Autor: | |
|---|---|
| Tipo de recurso: | artículo |
| 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:1008/952 |
| Acceso en línea: | http://cimat.repositorioinstitucional.mx/jspui/handle/1008/952 |
| 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/120808 |
| Sumario: | 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 Lévy 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 Lévy processes. Many new, concrete examples of scale functions are offered although the methodology in principle delivers still more explicit examples than those listed here. |
|---|