With a view to computing fluctuation identities related to stable processes, we review and extend the class of hypergeometric Lévy processes explored in Kuznetsov and Pardo [17]. We give the Wiener–Hopf factorisation of a process in the extended class, and characterise its exponential functional. Fi-nally, we give three concrete examples arising from transformations of stable processes.
As a generalisation of Lamperti’s transformation, it has been proved by Alili, Chaumont, Grackzyk an...
Abstract. Extending earlier work by Rogers, Wiener–Hopf factorisation is studied for a class of func...
We develop a completely new and straightforward method for simulating the joint law of the position ...
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf f...
We study the distribution and various properties of exponential functionals of hypergeometric Lévy ...
We study the Wiener–Hopf factorization and the distribution of extrema for general stable processes....
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain Wiener–Hopf ...
We give three applications of the Pecherskii-Rogozin-Spitzer identity for Lévy processes. First, we ...
Let A A be the Lq Lq -functional of a stable Lévy process starting from one and killed wh...
We give a series representation of the logarithm of the bivariateLaplace exponent of -stable process...
This paper presents a framework for numerical computations in fluctuation theory for Lévy processes....
We study the Wiener-Hopf factorization for Lévy processes with bounded positive jumps and arbitrary...
Abstract. For a Lévy process ξ = (ξt)t≥0 drifting to −∞, we define the so-called exponential functi...
We consider two first passage problems for stable processes, not necessarily symmetric, in one dimen...
Meromorphic L´evy processes have attracted the attention of a lot of researchers recently due to it...
As a generalisation of Lamperti’s transformation, it has been proved by Alili, Chaumont, Grackzyk an...
Abstract. Extending earlier work by Rogers, Wiener–Hopf factorisation is studied for a class of func...
We develop a completely new and straightforward method for simulating the joint law of the position ...
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf f...
We study the distribution and various properties of exponential functionals of hypergeometric Lévy ...
We study the Wiener–Hopf factorization and the distribution of extrema for general stable processes....
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain Wiener–Hopf ...
We give three applications of the Pecherskii-Rogozin-Spitzer identity for Lévy processes. First, we ...
Let A A be the Lq Lq -functional of a stable Lévy process starting from one and killed wh...
We give a series representation of the logarithm of the bivariateLaplace exponent of -stable process...
This paper presents a framework for numerical computations in fluctuation theory for Lévy processes....
We study the Wiener-Hopf factorization for Lévy processes with bounded positive jumps and arbitrary...
Abstract. For a Lévy process ξ = (ξt)t≥0 drifting to −∞, we define the so-called exponential functi...
We consider two first passage problems for stable processes, not necessarily symmetric, in one dimen...
Meromorphic L´evy processes have attracted the attention of a lot of researchers recently due to it...
As a generalisation of Lamperti’s transformation, it has been proved by Alili, Chaumont, Grackzyk an...
Abstract. Extending earlier work by Rogers, Wiener–Hopf factorisation is studied for a class of func...
We develop a completely new and straightforward method for simulating the joint law of the position ...