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Explicit identities for Levy processes associated to symmetric stable processes


Reference:

Caballero, M. E., Pardo, J.-C. and Perez, J. L., 2011. Explicit identities for Levy processes associated to symmetric stable processes. Bernoulli, 17 (1), pp. 34-59.

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Official URL:

http://dx.doi.org/10.3150/10-bej275

Abstract

In this paper, we introduce a new class of Levy processes which we call hypergeometric-stable Levy processes because they are obtained from symmetric stable processes through several transformations, where the Gauss hypergeometric function plays an essential role. We characterize the Levy measure of this class and obtain several useful properties such as the Wiener-Hopf factorization, the characteristic exponent and some associated exit problems.

Details

Item Type Articles
CreatorsCaballero, M. E., Pardo, J.-C. and Perez, J. L.
DOI10.3150/10-bej275
DepartmentsFaculty of Science > Mathematical Sciences
RefereedYes
StatusPublished
ID Code23141

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