We establish a boundary Harnack principle for a large class of subordinate Brownian motion, including mixtures of symmetric stable processes, in bounded κ-fat open set (disconnected analogue of John domains). As an application of the boundary Harnack principle, we identify the Martin boundary and the minimal Martin boundary of bounded κ-fat open sets with respect to these processes with their E...

In this paper, a normal inverse Gaussian factor model is developed to describe the fat-tailed feature of the default distribution of reference entities in order to study basket default swaps pricing. Based on this model, the explicit formula for the distribution of the kth default time is accurately obtained by making use of order statistics, and the closed forms of the price of BDS at the kth ...

In this paper we study perturbations of a large class of subordinate Brownian motions in bounded κ-fat open sets, which include bounded John domains. Suppose that X is such a subordinate Brownian motion and that J is the Lévy density of X. The main result of this paper implies, in particular, that, if Y is a symmetric Lévy process with Lévy density J satisfying |J (x) − J(x)| ≤ cmax{|x|−d+ρ, 1}...