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arXiv · 1904.06143

Double hypergeometric Lévy processes and self-similarity

Andreas E. Kyprianou·Juan Carlos Pardo·Matija Vidmar
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Abstract

Motivated by a recent paper of Budd, 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.

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Andreas E. Kyprianou, Juan Carlos Pardo, Matija Vidmar. 2020-07-20. Double hypergeometric Lévy processes and self-similarity. https://arxiv.org/abs/1904.06143

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