Double hypergeometric L\'evy processes and self-similarity
Probability
2020-07-21 v2
Abstract
Motivated by a recent paper of Budd, where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of L\'evy processes, called the double hypergeometric class, whose Wiener-Hopf factorisation is explicit, and as a result many functionals can be determined in closed form.
Keywords
Cite
@article{arxiv.1904.06143,
title = {Double hypergeometric L\'evy processes and self-similarity},
author = {Andreas E. Kyprianou and Juan Carlos Pardo and Matija Vidmar},
journal= {arXiv preprint arXiv:1904.06143},
year = {2020}
}