### Abstract

Original language | English |
---|---|

Title of host publication | Lévy Matters II |

Subtitle of host publication | Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions |

Place of Publication | Berlin |

Publisher | Springer |

Pages | 97-186 |

Number of pages | 90 |

ISBN (Electronic) | 9783642314070 |

ISBN (Print) | 9783642314063 |

DOIs | |

Publication status | Published - 2013 |

### Publication series

Name | Lecture Notes in Mathematics |
---|---|

Publisher | Springer |

Volume | 2061 |

ISSN (Print) | 0075-8434 |

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### Cite this

*Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions*(pp. 97-186). (Lecture Notes in Mathematics; Vol. 2061). Berlin: Springer. https://doi.org/10.1007/978-3-642-31407-0_2

**The theory of scale functions for spectrally negative lévy processes.** / Kuznetsov, A.; Kyprianou, A.E.; Rivero, V.

Research output: Chapter in Book/Report/Conference proceeding › Other chapter contribution

*Lévy Matters II: Recent Progress in Theory and Applications: Fractional Lévy Fields, and Scale Functions.*Lecture Notes in Mathematics, vol. 2061, Springer, Berlin, pp. 97-186. https://doi.org/10.1007/978-3-642-31407-0_2

}

TY - CHAP

T1 - The theory of scale functions for spectrally negative lévy processes

AU - Kuznetsov, A.

AU - Kyprianou, A.E.

AU - Rivero, V.

PY - 2013

Y1 - 2013

N2 - 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 relationship to the Lévy-Itô decomposition. We shall also touch on more general topics such as excursion theory and semi-martingale calculus. However, wherever possible, we shall try to focus on key ideas taking a selective stance on the technical details. For the reader who is less familiar with some of the mathematical theories and techniques which are used at various points in this review, we note that all the necessary technical background can be found in the following texts on Lévy processes; (Bertoin, Lévy Processes (1996); Sato, Lévy Processes and Infinitely Divisible Distributions (1999); Kyprianou, Introductory Lectures on Fluctuations of Lévy Processes and Their Applications (2006); Doney, Fluctuation Theory for Lévy Processes (2007)), Applebaum Lévy Processes and Stochastic Calculus (2009).

AB - 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 relationship to the Lévy-Itô decomposition. We shall also touch on more general topics such as excursion theory and semi-martingale calculus. However, wherever possible, we shall try to focus on key ideas taking a selective stance on the technical details. For the reader who is less familiar with some of the mathematical theories and techniques which are used at various points in this review, we note that all the necessary technical background can be found in the following texts on Lévy processes; (Bertoin, Lévy Processes (1996); Sato, Lévy Processes and Infinitely Divisible Distributions (1999); Kyprianou, Introductory Lectures on Fluctuations of Lévy Processes and Their Applications (2006); Doney, Fluctuation Theory for Lévy Processes (2007)), Applebaum Lévy Processes and Stochastic Calculus (2009).

UR - http://www.scopus.com/inward/record.url?scp=84868316140&partnerID=8YFLogxK

UR - http://dx.doi.org/10.1007/978-3-642-31407-0_2

U2 - 10.1007/978-3-642-31407-0_2

DO - 10.1007/978-3-642-31407-0_2

M3 - Other chapter contribution

SN - 9783642314063

T3 - Lecture Notes in Mathematics

SP - 97

EP - 186

BT - Lévy Matters II

PB - Springer

CY - Berlin

ER -