The extended hypergeometric class of L\'evy processes
Probability
2021-01-22 v2
Abstract
With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a process in the extended class, and characterise its exponential functional. Finally, we give three concrete examples arising from transformations of stable processes.
Keywords
Cite
@article{arxiv.1310.1135,
title = {The extended hypergeometric class of L\'evy processes},
author = {A. E. Kyprianou and J. C. Pardo and A. R. Watson},
journal= {arXiv preprint arXiv:1310.1135},
year = {2021}
}
Comments
22 pages