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

Author

Listed:
  • Martín-González, Ehyter M.
  • Murillo-Salas, Antonio
  • Pantí, Henry

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.

Suggested Citation

  • Martín-González, Ehyter M. & Murillo-Salas, Antonio & Pantí, Henry, 2024. "A note on series representation for the q-scale function of a class of spectrally negative Lévy processes," Statistics & Probability Letters, Elsevier, vol. 210(C).
    • Handle: RePEc:eee:stapro:v:210:y:2024:i:c:s0167715224000841
    DOI: 10.1016/j.spl.2024.110115
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