A transformation for L\'evy processes with one-sided jumps and applications
Probability
2010-10-20 v1
Abstract
The aim of this work is to extend and study a family of transformations between Laplace exponents of L\'evy processes which have been introduced recently in a variety of different contexts by Patie, Kyprianou and Patie, and, Gnedin, as well as in older work of Urbanik . We show how some specific instances of this mapping prove to be useful for a variety of applications.
Keywords
Cite
@article{arxiv.1010.3819,
title = {A transformation for L\'evy processes with one-sided jumps and applications},
author = {Marie Chazal and Andreas E. Kyprianou and Pierre Patie},
journal= {arXiv preprint arXiv:1010.3819},
year = {2010}
}