Double hypergeometric Lévy processes and self-similarity. (March 2021)

• Record Type: Journal Article
• Authors: Kyprianou, Andreas E.; Pardo, Juan Carlos; Vidmar, Matija
• Is Part Of: Journal of applied probability. Volume 58:Number 1(2021)
• Page Start: 254
• Page End: 273
• Publication Date: 2021-03
• Subjects: Lévy processes, -- Wiener–Hopf factorisation, -- self-similar Markov processes, -- complete Bernstein functions, -- Pick functions; 60G51, -- 60G18, -- 60G52; 519.2
• DOI: 10.1017/jpr.2020.86
• Languages: English
• ISSNs: 0021-9002

Abstract

Abstract: Motivated 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.