Abstract
AbstractMotivated 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.
Publisher
Cambridge University Press (CUP)
Subject
Statistics, Probability and Uncertainty,General Mathematics,Statistics and Probability
Cited by
3 articles.
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1. Markov additive friendships;Transactions of the American Mathematical Society;2024-08-20
2. The uniqueness of the Wiener–Hopf factorisation of Lévy processes and random walks;Bulletin of the London Mathematical Society;2024-07-17
3. Positive self-similar Markov processes obtained by resurrection;Stochastic Processes and their Applications;2023-02