Law of the exponential functional of a new family of one-sided Levy processes via self-similar continuous state branching processes with immigration and the Wright hypergeometric functions

arXiv0712.1115MaRDI QIDQ6207761FDOQ6207761

Publication date: 7 December 2007

Abstract: We first introduce and derive some basic properties of a two-parameters family of one-sided Levy processes. Their Laplace exponents are given in terms of the Pochhammer symbol. This family includes, in a limit case, the family of Brownian motion with drifts. Then, we proceed by computing the density of the law of the exponential functional associated to some elements of this family (and their dual) and some transformations of these elements. These densities are expressed in terms of the Wright hypergeometric functions. By means of probabilistic arguments, we derive some interesting properties enjoyed by these functions. On the way we also characterize explicitly the density of the semi-groups of the family of self-similar continuous state branching processes with immigration.

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Self-similar stochastic processes (60G18)

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