Complete monotonicity of time-changed Lévy processes at first passage

Vidmar, Matija (author)

We consider the class of (possibly killed) spectrally positive Lévy process that have been time-changed by the inverse of an integral functional. Within this class we characterize the family of those processes which satisfy the following property: as functions of point of issue, the Laplace transforms of their first-passage times downwards are completely monotone. A wide (dense, in a sense) subfamily of this family admits closed form expressions for said Laplace transforms.

• Language: English
• Keywords: spectrally positive Lévy process, time-change, first passage, complete monotonicity, Laplace transform
• Work type: Article
• Typology: 1.01 - Original Scientific Article
• Organization: FMF - Faculty of Mathematics and Physics
• Publication status: Published
• Publication version: Version of Record
• Year: 2023
• Number of pages: 9 str.
• Numbering: Vol. 193, art. 109710
• PID: 20.500.12556/RUL-143808
• UDC: 519.218
• ISSN on article: 0167-7152
• DOI: 10.1016/j.spl.2022.109710
• COBISS.SI-ID: 127643395
• Publication date in RUL: 12.01.2023

Record is a part of a journal

• Title: Statistics & probability letters
• Shortened title: Stat. probab. lett.
• Publisher: Elsevier
• ISSN: 0167-7152
• COBISS.SI-ID: 1248533

Licences

• License: CC BY 4.0, Creative Commons Attribution 4.0 International
• Link: http://creativecommons.org/licenses/by/4.0/
• Description: This is the standard Creative Commons license that gives others maximum freedom to do what they want with the work as long as they credit the author.

Secondary language

• Language: Slovenian
• Keywords: spektralno pozitiven Lévyjev proces, časovna sprememba, prvi prehod, polna monotonost, Laplaceova transformacija

Projects

• Funder: ARRS - Slovenian Research Agency
• Project number: N1-0174
• Name: Časi prvih prehodov enostranskih procesov Markova