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math.PR2008★ 9 cited
Probability measures, Lévy measures and analyticity in time
Ole E. Barndorff-Nielsen, Friedrich Hubalek
We investigate the relation of the semigroup probability density of an infinite activity Lévy process to the corresponding Lévy density. For subordinators, we provide three methods…
math.PR2008
Old and new examples of scale functions for spectrally negative Levy processes
F. Hubalek, A. E. Kyprianou
We give a review of the state of the art with regard to the theory of scale functions for spectrally negative Levy processes. From this we introduce a general method for generating…
math.PR2001
A general proof of the Dybvig-Ingersoll-Ross-Theorem: Long forward rates can never fall
Friedrich Hubalek, Irene Klein, Josef Teichmann
A general proof of the Dybvig-Ingersoll-Ross Theorem on the monotonicity of long forward rates is presented. Some inconsistencies in the original proof of this theorem are discusse…