Name
Abstract | ||
|---|---|---|
We review and extend the class of hypergeometric Levy 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. |
Year | DOI | Venue |
|---|---|---|
2014 | 10.1017/S0021900200021409 | JOURNAL OF APPLIED PROBABILITY |
Keywords | Field | DocType |
Levy process, hypergeometric Levy process, extended hypergeometric Levy process, Wiener-Hopf factorisation, exponential functional, stable process, path-censored stable process, conditioned stable process, hitting distribution, hitting probability | Combinatorics,Basic hypergeometric series,Hypergeometric distribution,Exponential function,Confluent hypergeometric function,Stable process,Generalized hypergeometric function,Hypergeometric function of a matrix argument,Lévy process,Mathematics | Journal |
Volume | Issue | ISSN |
51 | A | 0021-9002 |
Citations | PageRank | References |
0 | 0.34 | 0 |
Authors | ||
3 | ||
Name | Order | Citations | PageRank |
|---|---|---|---|
| Andreas E. Kyprianou | 1 | 17 | 5.31 |
| Juan Carlos Pardo | 2 | 0 | 1.01 |
| Alex R. Watson | 3 | 0 | 0.34 |