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

DOI10.1214/16-ECP4055MaRDI QIDQ287832zbMATH OpenOpenAlexFDO

Authors 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, https://projecteuclid.org/euclid.ecp/1461251163

zbMATH Keywords

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

Mathematics Subject Classification ID

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

Abstract: In this note, we compute the Mellin transform of a Poissonian exponential functional, the underlying process being a simple continuous time random walk. It shows that the Poissonian functional can be expressed in term of the inverse of a $q$-gamma random variable. The result interpolates between two known results. When the random walk has only positive increments, we retrieve a theorem due to Bertoin, Biane and Yor. In the Brownian limit ($qightarrow{1}^{-}$), one recovers Dufresne's identity involving an inverse gamma random variable. Hence, one can see it as a $q$-deformed Dufresne identity.

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