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The<i>W</i>,<i>Z</i>scale functions kit for first passage problems of spectrally negative Lévy processes, and applications to control problems
In the last years there appeared a great variety of identities for first passage problems of spectrally negative Lévy processes, which can all be expressed in terms of two “ q -harmonic functions” (or scale functions) W and Z . The reason behind that is that there are two ways …