Doney's smoothness conjecture for scale functions of spectrally negative Lévy processes

Let XX be a spectrally negative Lévy process with Gaussian coefficient σ2\sigma^2 and Lévy measure PiPi, and let WW be its scale function. Define the tail of the Lévy measure by

Π(x)=Π((,x)),x>0.\overline\Pi(x)=\Pi((-\infty,-x)),\qquad x>0.

For k=0,1,2,k=0,1,2,\ldots, the following equivalences should hold:

Doney's conjecture.

  1. If σ2>0\sigma^2>0, then
WCk+3(0,)ΠCk(0,).W\in C^{k+3}(0,\infty)\Longleftrightarrow \overline\Pi\in C^k(0,\infty).
  1. If σ=0\sigma=0 and (1,0)xΠ(dx)=\int_{(-1,0)}|x|\,\Pi(\mathrm{d}x)=\infty, then
WCk+2(0,)ΠCk(0,).W\in C^{k+2}(0,\infty)\Longleftrightarrow \overline\Pi\in C^k(0,\infty).
  1. If σ=0\sigma=0 and (1,0)xΠ(dx)<\int_{(-1,0)}|x|\,\Pi(\mathrm{d}x)<\infty, then
WCk+1(0,)ΠCk(0,).W\in C^{k+1}(0,\infty)\Longleftrightarrow \overline\Pi\in C^k(0,\infty).

The conjecture predicts the precise loss of smoothness between the Lévy-measure tail and the scale function in the Gaussian, unbounded-variation, and bounded-variation cases. The surrounding results establish only partial cases under additional analytic assumptions, while the unbounded-variation case with no Gaussian component had not been addressed in the cited work.

Sources & referencesView supporting material

Primary source

Alexey Kuznetsov, Andreas E. Kyprianou and Victor Rivero, “The theory of scale functions for spectrally negative Le vy processes”, arXiv:1104.1280 (2011).

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