Some explicit identities associated with positive self-similar Markov processes (Q1009677): Difference between revisions

Some special classes of Lévy processes are considered with no Gaussian component whose Lévy measure is of the type \(\pi(dx)=e^{\gamma x}\nu(e^x-1)dx\), where \(\nu\) is the density of the stable Lévy measure and \(\gamma\) is a positive parameter which depends on its characteristics. These processes were introduced by \textit{M. E. Caballero} and \textit{L. Chaumont} [J. Appl. Probab. 43, 967--983 (2006; Zbl 1133.60316)] as the underlying Lévy processes in the Lamperti representation of conditioned stable Lévy processes. The law of these Lévy processes at their first exit time from a finite or semi-finite interval, the law of their exponential functional and the first hitting time probability of a pair of points are computed explicitly.