pith. sign in

arxiv: 1811.06617 · v1 · pith:KKULLPUBnew · submitted 2018-11-15 · 🧮 math.PR

Fluctuation theory for L\'evy processes with completely monotone jumps

classification 🧮 math.PR
keywords completecompletelyfunctionjumpsmonotoneprocessesprovesupremum
0
0 comments X
read the original abstract

We study the Wiener-Hopf factorization for L\'evy processes $X_t$ with completely monotone jumps. Extending previous results of L.C.G. Rogers, we prove that the space-time Wiener-Hopf factors are complete Bernstein functions of both the spatial and the temporal variable. As a corollary, we prove complete monotonicity of: (a) the tail of the distribution function of the supremum of $X_t$ up to an independent exponential time; (b) the Laplace transform of the supremum of $X_t$ up to a fixed time $T$, as a function of $T$. The proof involves a detailed analysis of the holomorphic extension of the characteristic exponent $f(\xi)$ of $X_t$, including a peculiar structure of the curve along which $f(\xi)$ takes real values.

This paper has not been read by Pith yet.

discussion (0)

Sign in with ORCID, Apple, or X to comment. Anyone can read and Pith papers without signing in.