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

DOI10.1016/J.SPL.2024.110115zbMATH Open1541.60033MaRDI QIDQ6569448

H. Pantí, Ehyter Matías Martín-González, A. Murillo-Salas

Publication date: 9 July 2024

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

zbMATH Keywords

series representationsscale functionsspectrally negative Lévy processesDoney's conjecture

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51)

Cites Work

• Title not available (Why is that?)
• Title not available (Why is that?)
• Lévy matters II. Recent progress in theory and applications: fractional Lévy fields, and scale functions.
• A note on scale functions and the time value of ruin for Lévy insurance risk processes
• On a generalization of the Gerber-Shiu function to path-dependent penalties
• Smoothness of scale functions for spectrally negative Lévy processes
• Gerber-Shiu functionals for classical risk processes perturbed by an \(\alpha\)-stable motion
• On the time to ruin for Erlang(2) risk processes.
• Fluctuations of Lévy processes with applications. Introductory lectures
• Joint distribution of a spectrally negative Lévy process and its occupation time, with step option pricing in view
• Old and New Examples of Scale Functions for Spectrally Negative Lévy Processes
• On series expansions for scale functions and other ruin-related quantities
• Optimal Control with Absolutely Continuous Strategies for Spectrally Negative Lévy Processes
• On q-scale functions of spectrally negative Lévy processes

This page was built for publication: A note on series representation for the \(q\)-scale function of a class of spectrally negative Lévy processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q6569448)