Double hypergeometric Lévy processes and self-similarity
Keyword(s):
AbstractMotivated by a recent paper (Budd (2018)), where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of Lévy processes, called the double hypergeometric class, whose Wiener–Hopf factorisation is explicit, and as a result many functionals can be determined in closed form.
2006 ◽
Vol 34
(3)
◽
pp. 1012-1034
◽
On the entire moments of self-similar Markov processes and exponential functionals of Lévy processes
2002 ◽
Vol 11
(1)
◽
pp. 33-45
◽
2009 ◽
Vol 133
(4)
◽
pp. 355-382
◽
Keyword(s):
Keyword(s):
1999 ◽
Vol 02
(01)
◽
pp. 105-129
◽
Keyword(s):
2008 ◽
Vol 45
(04)
◽
pp. 1140-1160
◽
Keyword(s):
1993 ◽
Vol 132
◽
pp. 141-153
◽
Keyword(s):