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Double hypergeometric Lévy processes and self-similarity. J Appl Probab 2021. [DOI: 10.1017/jpr.2020.86] [Citation(s) in RCA: 0] [Impact Index Per Article: 0] [Reference Citation Analysis] [Abstract] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/06/2022]
Abstract
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.
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Kwaśnicki M. Fluctuation theory for Lévy processes with completely monotone jumps. ELECTRON J PROBAB 2019. [DOI: 10.1214/19-ejp300] [Citation(s) in RCA: 1] [Impact Index Per Article: 0.2] [Reference Citation Analysis] [Track Full Text] [Journal Information] [Subscribe] [Scholar Register] [Indexed: 11/19/2022]
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