A transformation for spectrally negative Lévy processes and applications

DOI10.1007/978-3-030-83309-1_9MaRDI QIDQ2080148zbMATH OpenOpenAlexFDO

Authors Marie Chazal, A. E. Kyprianou, Pierre Patie

Publication date 7 October 2022

Full work available at URL https://doi.org/10.1007/978-3-030-83309-1_9

zbMATH Keywords

exponential functionalfluctuation theoryhypergeometric functionintertwiningpositive self-similar Markov processspectrally negative Lévy process

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51)

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Cited in

(5)

• Nonsingular transformations of a class of tempered Lévy processes
• Spectrally negative Lévy processes with applications in risk theory
• General -transformations
• On fluctuation theory for spectrally negative Lévy processes with Parisian reflection below, and applications
• Recent developments in exponential functionals of Lévy processes

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