6 citations · 6 across the 4 of their papers we have counts for
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Extended Factorizations of Exponential Functionals of Lévy Processes
Pierre Patie, Mladen Savov
In [16], under mild conditions, a Wiener-Hopf type factorization is derived for the exponential functional of proper Lévy processes. In this paper, we extend this factorization by…
An Application of Renewal Theorems to Exponential Moments of Local Times
Leif Doering, Mladen Savov
In this note we explain two transitions known for moment generating functions of local times by means of properties of the renewal measure of a related renewal equation. The argume…
(Non)Differentiability and Asymptotics for Potential Densities of Subordinators
Leif Doering, Mladen Savov
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…
Smoothness of scale functions for spectrally negative Levy processes
Terence Chan, Andreas Kyprianou, Mladen Savov
Scale functions play a central role in the fluctuation theory of spectrally negative Lévy processes and often appear in the context of martingale relations. These relations are oft…