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Double hypergeometric Lévy processes and self-similarity
Journal of Applied Probability ( IF 0.7 ) Pub Date : 2021-02-25 , DOI: 10.1017/jpr.2020.86
Andreas E. Kyprianou , Juan Carlos Pardo , Matija Vidmar

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.

中文翻译:

双超几何 Lévy 过程和自相似性

受最近一篇论文 (Budd (2018)) 的启发,其中出现了与稳定过程相关的新的正自相似马尔可夫过程族,我们引入了一个新的 Lévy 过程族,称为双超几何类,其 Wiener-Hopf 分解为显式的,因此许多泛函可以以封闭的形式确定。
更新日期:2021-02-25
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