Fluctuation theory for L\'evy processes with completely monotone jumps
Probability
2018-11-19 v1
Abstract
We study the Wiener-Hopf factorization for L\'evy processes with completely monotone jumps. Extending previous results of L.C.G. Rogers, we prove that the space-time Wiener-Hopf factors are complete Bernstein functions of both the spatial and the temporal variable. As a corollary, we prove complete monotonicity of: (a) the tail of the distribution function of the supremum of up to an independent exponential time; (b) the Laplace transform of the supremum of up to a fixed time , as a function of . The proof involves a detailed analysis of the holomorphic extension of the characteristic exponent of , including a peculiar structure of the curve along which takes real values.
Cite
@article{arxiv.1811.06617,
title = {Fluctuation theory for L\'evy processes with completely monotone jumps},
author = {Mateusz Kwaśnicki},
journal= {arXiv preprint arXiv:1811.06617},
year = {2018}
}
Comments
39 pages; supersedes unpublished arXiv:1312.1866