Explicit identities for Lévy processes associated to symmetric stable processes

DOI10.3150/10-BEJ275zbMATH Open1284.60092arXiv0911.0712OpenAlexW2101711769MaRDI QIDQ637089FDOQ637089

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

Publication date: 2 September 2011

Published in: Bernoulli (Search for Journal in Brave)

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.

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

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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)

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Cited In (22)

• Invariance principles for clocks
• Deep factorisation of the stable process. II: Potentials and applications
• The Lamperti representation of real-valued self-similar Markov processes
• Hitting distributions of \(\alpha\)-stable processes via path censoring and self-similarity
• Large Deviations for Clocks of Self-similar Processes
• A growth-fragmentation model connected to the ricocheted stable process
• 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
• Windings of planar stable processes
• 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
• The extended hypergeometric class of Lévy processes
• A Wiener-Hopf Monte Carlo simulation technique for Lévy processes
• On the Wiener-Hopf factorization for Lévy processes with bounded positive jumps
• Markov additive friendships
• Optimal stopping of the stable process with state-dependent killing
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• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• Entrance and exit at infinity for stable jump diffusions
• The Doob-McKean identity for stable Lévy processes
• Stable windings at the origin

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