OLD AND NEW EXAMPLES OF SCALE FUNCTIONS FOR SPECTRALLY Negative Lévy Processes (2009)
by
F. Hubalek
,
A. E. Kyprianou
| Citations: | 10 - 7 self |
BibTeX
@MISC{Hubalek09oldand,
author = {F. Hubalek and A. E. Kyprianou},
title = { OLD AND NEW EXAMPLES OF SCALE FUNCTIONS FOR SPECTRALLY Negative Lévy Processes},
year = {2009}
}
OpenURL
Abstract
We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Lévy 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.







