The extended hypergeometric class of L\'evy processes
| Autor: | Kyprianou, A. E., Pardo, J. C., Watson, A. R. |
|---|---|
| Rok vydání: | 2013 |
| Předmět: | |
| Druh dokumentu: | Working Paper |
| DOI: | 10.1239/jap/1417528488 |
| Popis: | With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a process in the extended class, and characterise its exponential functional. Finally, we give three concrete examples arising from transformations of stable processes. Comment: 22 pages |
| Databáze: | arXiv |
| Externí odkaz: |
|