A note on series representation for the q-scale function of a class of spectrally negative Lévy processes

We provide a series representation for the q-scale function for spectrally negative Lévy processes whose jumps part has bounded variation paths. Such a series representation is in terms of completely known parameters of the associated Lévy process. We use our results to prove Doney’s conjecture in t...

Full description

Saved in:
Bibliographic Details
Published in:Statistics & probability letters 2024-07, Vol.210, p.110115, Article 110115
Main Authors: Martín-González, Ehyter M., Murillo-Salas, Antonio, Pantí, Henry
Format: Article
Language:English
Subjects:
Doney’s conjecture
Scale functions
Series representations
Spectrally negative Lévy processes
Citations: Items that this one cites
Online Access:Get full text
Tags: Add Tag
No Tags, Be the first to tag this record!
Description
Summary:We provide a series representation for the q-scale function for spectrally negative Lévy processes whose jumps part has bounded variation paths. Such a series representation is in terms of completely known parameters of the associated Lévy process. We use our results to prove Doney’s conjecture in the case when the Lévy process does not have a Gaussian component.
ISSN:0167-7152
1879-2103
DOI:10.1016/j.spl.2024.110115