Old and new examples of scale functions for spectrally negative Levy processes
Probability
2008-07-05 v2
Abstract
We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Levy processes. From this we introduce a general method for generating new families of scale functions. Using this method we introduce a new family of scale functions belonging to the Gaussian Tempered Stable Convolution (GTSC) class. We give particular emphasis to special cases as well as cross-referencing their analytical behaviour against known general considerations.
Keywords
Cite
@article{arxiv.0801.0393,
title = {Old and new examples of scale functions for spectrally negative Levy processes},
author = {F. Hubalek and A. E. Kyprianou},
journal= {arXiv preprint arXiv:0801.0393},
year = {2008}
}