Article contents
The extended hypergeometric class of Lévy processes
Published online by Cambridge University Press: 30 March 2016
Abstract
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.
Keywords
MSC classification
- Type
- Part 8. Markov processes and renewal theory
- Information
- Journal of Applied Probability , Volume 51 , Issue A: Celebrating 50 Years of The Applied Probability Trust , December 2014 , pp. 391 - 408
- Copyright
- Copyright © Applied Probability Trust 2014
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