TY - JOUR
T1 - The extended hypergeometric class of Lévy processes
AU - Kyprianou, Andreas
AU - Pardo Millan, Juan-Carlos
AU - Watson, Alexander
PY - 2014/12/2
Y1 - 2014/12/2
N2 - We review and extend the class of hypergeometric Lévy processes explored in Kuznetsov and Pardo (2013) with a view to computing fluctuation identities related to stable processes. We give the Wiener-Hopf factorisation of a process in the extended class, characterise its exponential functional, and give three concrete examples arising from transformations of stable processes.
AB - We review and extend the class of hypergeometric Lévy processes explored in Kuznetsov and Pardo (2013) with a view to computing fluctuation identities related to stable processes. We give the Wiener-Hopf factorisation of a process in the extended class, characterise its exponential functional, and give three concrete examples arising from transformations of stable processes.
UR - http://projecteuclid.org/euclid.jap/1417528488
U2 - 10.1239/jap/1417528488
DO - 10.1239/jap/1417528488
M3 - Article
SN - 0021-9002
VL - 51A
SP - 391
EP - 408
JO - Journal of Applied Probability
JF - Journal of Applied Probability
ER -