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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.
|Number of pages||26|
|Publication status||Published - Feb 2011|
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- 1 Finished
LEVY PROCESSES OPTIMAL STOPPING PROBLEMS AND STOCHASTIC GAME S
Engineering and Physical Sciences Research Council
1/01/07 → 31/12/09
Project: Research council