Explicit identities for Lévy processes associated to symmetric stable processes

DOI10.3150/10-BEJ275MaRDI QIDQ637089zbMATHOpenAlexFDO

Authors M. Emilia Caballero, J. C. Pardo, José Luis Pérez Garmendia

Publication date 2 September 2011

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/0911.0712

zbMATH Keywords

first exit timefirst hitting timeLamperti representationpositive self-similar Markov processessymmetric stable Lévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Stable stochastic processes (60G52)

Abstract: In this paper we introduce a new class of L'evy processes which we call hypergeometric-stable L'evy processes, because they are obtained from symmetric stable processes through several transformations and where the Gauss hypergeometric function plays an essential role. We characterize the L'evy measure of this class and obtain several useful properties such as the Wiener Hopf factorization, the characteristic exponent and some associated exit problems.

Recommendations

• Symmetrization of Lévy processes and applications
• On symmetric stable-type processes with degenerate/singular Lévy densities
• On a characterization of symmetric stable processes
• The Doob-McKean identity for stable Lévy processes
• Stable Lévy Processes via Lamperti-Type Representations
• The Lévy Laplacian and stable processes
• IDT processes and associated Lévy processes with explicit constructions
• On identities in law for some functionals of Lévy processes
• Approximation of a symmetric α-stable Lévy process by a Lévy process with finite moments of all orders
• Invariant Measures of Symmetric Levy Processes

Cites work

• scientific article; zbMATH DE number 1231230 (Why is no real title available?)
• scientific article; zbMATH DE number 1245556 (Why is no real title available?)
• scientific article; zbMATH DE number 918811 (Why is no real title available?)
• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• Exact and asymptotic \(n\)-tuple laws at first and last passage
• On Lamperti stable processes
• On the Distribution of First Hits for the Symmetric Stable Processes
• Overshoots and undershoots of Lévy processes
• Radial processes
• Semi-stable Markov processes. I
• The First Hitting Distribution of a Sphere for Symmetric Stable Processes
• VOTRE LÉVY RAMPE-T-IL?

Cited in

(23)

• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• scientific article; zbMATH DE number 7232746 (Why is no real title available?)
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• The Doob-McKean identity for stable Lévy processes
• Optimal stopping of the stable process with state-dependent killing
• The extended hypergeometric class of Lévy processes
• The Lamperti representation of real-valued self-similar Markov processes
• Attraction to and repulsion from a subset of the unit sphere for isotropic stable Lévy processes
• Oscillatory attraction and repulsion from a subset of the unit sphere or hyperplane for isotropic stable Lévy processes
• Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
• Entrance and exit at infinity for stable jump diffusions
• Large Deviations for Clocks of Self-similar Processes
• A growth-fragmentation model connected to the ricocheted stable process
• Stable windings at the origin
• Stable Lévy processes, self-similarity and the unit ball
• Deep factorisation of the stable process. II: Potentials and applications
• Windings of planar stable processes
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• Meromorphic Lévy processes and their fluctuation identities
• Deep factorisation of the stable process III: the view from radial excursion theory and the point of closest reach
• Markov additive friendships
• More on hypergeometric Lévy processes
• Invariance principles for clocks

This page was built for publication: Explicit identities for Lévy processes associated to symmetric stable processes

Report a bug (only for logged in users!)Click here to report a bug for this page (MaRDI item Q637089)