Complete monotonicity of time-changed L\'evy processes at first passage

Matija Vidmar

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arXiv · 2205.06654

Complete monotonicity of time-changed L\'evy processes at first passage

Matija Vidmar

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Abstract

We consider the class of (possibly killed) spectrally positive L\'evy process that have been time-changed by the inverse of an integral functional. Within this class we characterize the family of those processes which satisfy the following property: as functions of point of issue, the Laplace transforms of their first-passage times downwards are completely monotone. A wide (dense, in a sense) subfamily of this family admits closed form expressions for said Laplace transforms.

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Matija Vidmar. 2022-05-13. Complete monotonicity of time-changed L\'evy processes at first passage. https://arxiv.org/abs/2205.06654

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