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Double hypergeometric Lévy processes and self-similarity
Published online by Cambridge University Press: 25 February 2021
Abstract
Motivated by a recent paper (Budd (2018)), where a new family of positive self-similar Markov processes associated to stable processes appears, we introduce a new family of Lévy processes, called the double hypergeometric class, whose Wiener–Hopf factorisation is explicit, and as a result many functionals can be determined in closed form.
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- © The Author(s), 2021. Published by Cambridge University Press on behalf of Applied Probability Trust
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