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(Non)differentiability and asymptotics for potential densities of subordinators

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Döring, L. and Savov, M. (2011) (Non)differentiability and asymptotics for potential densities of subordinators. Electronic Journal of Probability, 16. pp. 470-503. ISSN 1083-6489

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To link to this item DOI: 10.1214/EJP.v16-860

Abstract/Summary

For subordinators with positive drift we extend recent results on the structure of the potential measures and the renewal densities. Applying Fourier analysis a new representation of the potential densities is derived from which we deduce asymptotic results and show how the atoms of the Lévy measure translate into points of (non)differentiability of the potential densities.

Item Type:Article
Refereed:Yes
Divisions:Science > School of Mathematical, Physical and Computational Sciences > Department of Mathematics and Statistics
ID Code:29110
Publisher:Institute of Mathematical Statistics; Bernoulli Society
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