A note on a Poissonian functional and a \(q\)-deformed dufresne identity

DOI10.1214/16-ECP4055zbMath1339.33018arXiv1406.5695OpenAlexW2337135308MaRDI QIDQ287832

Reda Chhaibi

Publication date: 23 May 2016

Published in: Electronic Communications in Probability (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1406.5695

zbMATH Keywords

Wiener-Hopf factorization\(q\)-calculus\(q\)-analogue of Dufresne's identity for exponential functionals of Brownian motion\(q\)-gamma random variableexponential functionals of compound Poisson process

Mathematics Subject Classification ID

Brownian motion (60J65) (q)-gamma functions, (q)-beta functions and integrals (33D05) Continuous-time Markov processes on discrete state spaces (60J27)

Related Items (3)

Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ On inverse-power Poisson functionals ⋮ Integrable probability: from representation theory to MacDonald processes

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