Double hypergeometric Lévy processes and self-similarity

Andreas Kyprianou, Juan Carlos Pardo, Matija Vidmar

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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 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.
Original languageEnglish
Pages (from-to)254-273
JournalJournal of Applied Probability
Volume58
Issue number1
Early online date25 Feb 2021
DOIs
Publication statusPublished - 31 Mar 2021

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