The extended hypergeometric class of Lévy processes

A. E. Kyprianou, J. C. Pardo, A. R. Watson

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.

Type
article
Publication
Journal of Applied Probability, 51A, 391–408
Date
January 2014
Links
DOI Preprint