More on hypergeometric Levy processes

Emma L. Horton; Andreas E. Kyprianou

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arXiv · 1509.02352

More on hypergeometric Levy processes

Emma L. Horton·Andreas E. Kyprianou

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Abstract

Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric Lévy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of positive self-similar Markov processes. Hypergeometric Lévy processes are defined through their characteristic exponent, which, as a complex-valued function, has four independent parameters. Kyprianou et al. (2014) showed that the definition of a Hypergeometric Lévy process could be taken to include a greater range of the aforesaid parameters than originally specified. In this short article, we push the parameter range even further. In particular, we calculate the underlying Lévy measure and potential measures of the Wiener--Hopf factors.

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Emma L. Horton, Andreas E. Kyprianou. 2015-09-08. More on hypergeometric Levy processes. https://arxiv.org/abs/1509.02352

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