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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 Lévy processes, called the double hypergeometric class, whose Wiener-Hopf factorisation is explicit, and as a result many functionals can be determined in closed form.
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- 1 Finished
2/06/14 → 1/10/17
Project: Research council