2007

Old and new examples of scale functions for spectrally negative Levy processes

Hubalek, F., Kyprianou, A. E.

Understand

We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Levy 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.

Built on

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