English

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 XtX_t 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 XtX_t up to an independent exponential time; (b) the Laplace transform of the supremum of XtX_t up to a fixed time TT, as a function of TT. The proof involves a detailed analysis of the holomorphic extension of the characteristic exponent f(ξ)f(\xi) of XtX_t, including a peculiar structure of the curve along which f(ξ)f(\xi) takes real values.

Keywords

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39 pages; supersedes unpublished arXiv:1312.1866

R2 v1 2026-06-23T05:17:39.316Z