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arXiv · 1310.1135

The extended hypergeometric class of L\'evy processes

A. E. Kyprianou·J. C. Pardo·A. R. Watson
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Abstract

With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric L\'evy processes explored in Kuznetsov and Pardo (arXiv:1012.0817). We give the Wiener-Hopf factorisation of a process in the extended class, and characterise its exponential functional. Finally, we give three concrete examples arising from transformations of stable processes.

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A. E. Kyprianou, J. C. Pardo, A. R. Watson. 2013-10-03. The extended hypergeometric class of L\'evy processes. https://doi.org/10.1239/jap/1417528488

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