(Non)Differentiability and Asymptotics for Potential Densities of Subordinators
Mladen Savov (Oxford University)
Abstract
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 Lévy measure translate into points of (non)differentiability of the potential densities.
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Pages: 470-503
Publication Date: March 17, 2011
DOI: 10.1214/EJP.v16-860
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