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The extended hypergeometric class of Lévy processes

  • A. E. Kyprianou (a1), J. C. Pardo (a2) and A. R. Watson (a3)
Abstract

We review and extend the class of hypergeometric Lévy processes explored in Kuznetsov and Pardo (2013) with a view to computing fluctuation identities related to stable processes. We give the Wiener-Hopf factorisation of a process in the extended class, characterise its exponential functional, and give three concrete examples arising from transformations of stable processes.

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Journal of Applied Probability
  • ISSN: 0021-9002
  • EISSN: 1475-6072
  • URL: /core/journals/journal-of-applied-probability
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