The extended hypergeometric class of Lévy processes

Abstract

With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric Lévy 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.

Publication
Journal of Applied Probability, 51A, 391–408
Date