Suprema of L\'evy processes with completely monotone jumps: spectral-theoretic approach

Abstract

We study spectral-theoretic properties of non-self-adjoint operators arising in the study of one-dimensional L\'evy processes with completely monotone jumps with a one-sided barrier. With no further assumptions, we provide an integral expression for the bivariate Laplace transform of the transition density pt+(x, y) of the killed process in (0, ∞), and under a minor regularity condition, a generalised eigenfunction expansion is given for the corresponding transition operator Pt+. Assuming additionally appropriate growth of the characteristic exponent, we prove a generalised eigenfunction expansion of the transition density pt+(x, y). Under similar conditions, we additionally show integral formulae for the cumulative distribution functions of the infimum and supremum functionals Xt and Xt. The class of processes covered by our results include many stable and stable-like L\'evy processes, as well as many processes with Brownian components. Our results recover known expressions for the classical risk process, and provide similar integral formulae for some other simple examples of L\'evy processes.

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