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For a spectrally negative Lévy process, scale functions appear in the solution of twosided exit problems, and in particular in relation with the Laplace transform of the first time it exits a closed interval. In this paper, we consider the Laplace transform of more general functionals, which can depend simultaneously on the values of the process and its supremum up to the exit time. These quantities will be expressed in terms of generalized scale functions, which can be defined using excursion theory. In the case the functional does not depend on the supremum, these scale functions coincide with the ones found on the literature, see e.g. Li and Palmowski (2018) and therefore the results in this work are an extension of them. [ABSTRACT FROM AUTHOR]

In this paper, the class of real harmonizable multifractional Lévy motions (in short RHMLMs) is introduced. This class is a generalization of the multifractional Brownian motion (in short MBM) and of the class of real harmonizable fractional Lévy motions. One of its main interest is that it contains some non-Gaussian fields which share many properties with the MBM. RHMLMs have locally Hölder sample paths and their Hölder exponent is allowed to vary along the trajectory. Moreover these fields are locally asymptotically self-similar. The multifractional function can be estimated with the localized generalized quadratic variations. [Copyright &y& Elsevier]

Abstract. In this paper, we study the detailed distributional properties of integrated non-Gaussian Ornstein–Uhlenbeck (intOU) processes. Both exact and approximate results are given. We emphasize the study of the tail behaviour of the intOU process. Our results have many potential applications in financial economics, as OU processes are used as models of instantaneous variance in stochastic volatility (SV) models. In this case, an intOU process can be regarded as a model of integrated variance. Hence, the tail behaviour of the intOU process will determine the tail behaviour of returns generated by SV models. [ABSTRACT FROM AUTHOR]