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arXiv · 1010.3819

A transformation for Lévy processes with one-sided jumps and applications

Marie Chazal·Andreas E. Kyprianou·Pierre Patie
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Abstract

The aim of this work is to extend and study a family of transformations between Laplace exponents of Lévy processes which have been introduced recently in a variety of different contexts by Patie, Kyprianou and Patie, and, Gnedin, as well as in older work of Urbanik . We show how some specific instances of this mapping prove to be useful for a variety of applications.

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Marie Chazal, Andreas E. Kyprianou, Pierre Patie. 2010-10-19. A transformation for Lévy processes with one-sided jumps and applications. https://arxiv.org/abs/1010.3819

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