The Theory of Scale Functions for Spectrally Negative Lévy Processes

@inproceedings{Kuznetsov2011TheTO,
  title={The Theory of Scale Functions for Spectrally Negative L{\'e}vy Processes},
  author={Alexey Kuznetsov and Andreas E. Kyprianou and V{\'i}ctor Manuel Hern{\'a}ndez Rivero},
  year={2011}
}
The purpose of this review article is to give an up to date account of the theory and applications of scale functions for spectrally negative Lévy processes. Our review also includes the first extensive overview of how to work numerically with scale functions. Aside from being well acquainted with the general theory of probability, the reader is assumed to have some elementary knowledge of Lévy processes, in particular a reasonable understanding of the Lévy–Khintchine formula and its… CONTINUE READING

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