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

Ehyter M. Martín-González, Antonio Murillo-Salas and Henry Pantí

Statistics & Probability Letters, 2024, vol. 210, issue C

Abstract: We provide a series representation for the q-scale function for spectrally negative Lévy processes whose jumps part has bounded variation paths. Such a series representation is in terms of completely known parameters of the associated Lévy process. We use our results to prove Doney’s conjecture in the case when the Lévy process does not have a Gaussian component.

Keywords: Doney’s conjecture; Series representations; Scale functions; Spectrally negative Lévy processes (search for similar items in EconPapers)
Date: 2024
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DOI: 10.1016/j.spl.2024.110115

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