(Non)Differentiability and Asymptotics for Potential Densities of Subordinators

Details (Non)Differentiability and Asymptotics for Potential Densities of Subordinators (Non)Differentiability and Asymptotics for Potential Densities of Subordinators

2011-06-28

arxiv.org/abs/1106.5680v1

Elect. Journal. Probability, Vol. 16 (2011), pages 470-503

Mathematics

Probability

27 pages, appeared in Electronic Journal of Probability 2011

Scientific paper

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 Levy measure
translate into points of (non)smoothness.

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