Doney's smoothness conjecture for scale functions of spectrally negative Lévy processes
Doney's smoothness conjecture for scale functions of spectrally negative Lévy processes
Let be a spectrally negative Lévy process with Gaussian coefficient and Lévy measure , and let be its scale function. Define the tail of the Lévy measure by
For , the following equivalences should hold:
Doney's conjecture.
- If , then
- If and , then
- If and , then
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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