A0347
Title: Approximation and estimation of scale functions for spectrally negative Levy processes
Authors: Yasutaka Shimizu - Waseda University (Japan) [presenting]
Abstract: The scale function holds significant importance within the fluctuation theory of Levy processes, particularly in addressing exit problems. However, its definition is established through the Laplace transform, thereby lacking explicit representations in general. A novel series representation is introduced for this scale function, employing Laguerre polynomials to construct a uniformly convergent approximate sequence. Additionally, statistical inference is derived based on specific discrete observations, presenting estimators of scale functions that are asymptotically normal.
