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Double hypergeometric Lévy processes and self-similarity
Part of
- Stochastic processes
Andreas E. Kyprianou, Juan Carlos Pardo, Matija Vidmar
Journal:

Journal of Applied Probability / Volume 58 / Issue 1 / March 2021

Published online by Cambridge University Press:

25 February 2021, pp. 254-273

Print publication:

March 2021
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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.

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Double hypergeometric Lévy processes and self-similarity