Suprema of Lévy processes with completely monotone jumps: Spectral-theoretic approach
Year: 2025
Type: article
Abstract: We study spectral-theoretic properties of non-self-adjoint operators arising in the study of one-dimensional Lévy processes with completely monotone jumps with a one-sided barrier. With no further assumptions, we provide an integral expression for the bivariate Laplace transform of the transition density p_{t}^{+}(x, y) of the killed process in (0, \infty) , and under a minor regularity condition, a generalised eigenfunction expansion is given for the corresponding transition operator P_{t}^{+} . Assuming additionally appropriate growth of the characteristic exponent, we prove a generalised eigenfunction expansion of the transition density p_{t}^{+}(x, y) . Under similar conditions, we additionally show integral formulae for the cumulative distribution functions of the infimum and supremum functionals \underline{X}_{t} and \overline{X}_{t} . The class of processes covered by our results include many stable and stable-like Lévy processes, as well as many processes with Brownian components. Our results recover known expressions for the classical risk process, and provide similar integral formulae for some other simple examples of Lévy processes.
Source: Journal of Spectral Theory
DOI: 10.4171/jst/546
Author: Mateusz Kwaśnicki
Institution: Wrocław University of Science and Technology
Language: English
Topic: Probability and Risk Models
Field: Decision Sciences
Domain: Social Sciences
Open Access status: diamond
OpenAlex ID: W4408220172