Explicit identities for Levy processes associated to symmetric stable processes

M E Caballero, Juan-Carlos Pardo, J L Perez

Research output: Contribution to journalArticle

13 Citations (Scopus)

Abstract

In this paper, we introduce a new class of Levy processes which we call hypergeometric-stable Levy processes because they are obtained from symmetric stable processes through several transformations, where the Gauss hypergeometric function plays an essential role. We characterize the Levy measure of this class and obtain several useful properties such as the Wiener-Hopf factorization, the characteristic exponent and some associated exit problems.
Original languageEnglish
Pages (from-to)34-59
Number of pages26
JournalBernoulli
Volume17
Issue number1
DOIs
Publication statusPublished - Feb 2011

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Symmetric Stable Processes
Lévy Process
Exit Problem
Wiener-Hopf Factorization
Gauss Hypergeometric Function
Lévy Measure
Characteristic Exponents
Stable Process
Class

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Explicit identities for Levy processes associated to symmetric stable processes. / Caballero, M E; Pardo, Juan-Carlos; Perez, J L.

In: Bernoulli, Vol. 17, No. 1, 02.2011, p. 34-59.

Research output: Contribution to journalArticle

Caballero, M E ; Pardo, Juan-Carlos ; Perez, J L. / Explicit identities for Levy processes associated to symmetric stable processes. In: Bernoulli. 2011 ; Vol. 17, No. 1. pp. 34-59.
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