Corpus ID: 220919872

On $q$-scale functions of spectrally negative compound Poisson processes

@inproceedings{Behme2020OnF,
  title={On \$q\$-scale functions of spectrally negative compound Poisson processes},
  author={Anita Behme and David Oechsler},
  year={2020}
}
  • Anita Behme, David Oechsler
  • Published 2020
  • Mathematics
  • Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes. For spectrally negative compound Poisson processes with positive drift, a new representation of the q-scale functions in terms of the characteristics of the process is derived. Moreover, similar representations of the derivatives and the primitives of the q-scale functions are presented. The obtained formulae for the derivatives allow for a complete exposure of the smoothness properties of the… CONTINUE READING

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