A transformation for Lévy processes with one-sided jumps and applications

2010/10/19 by Marie Chazal, Chazal, Marie, Andreas E. Kyprianou +3
Economics, Econometrics and Finance · Mathematics · #33C20 #60G18 #60G51 #FOS: Mathematics #Mathematical Dynamics and Fractals #Nonlinear Differential Equations Analysis #Probability (math.PR) #Stochastic processes and financial applications

paper · pdf · doi:10.48550/arxiv.1010.3819

openalex publication_date 2010/10/19 · openalex created_date 2025/10/10 · openalex updated_date 2026/07/28

Abstract

The aim of this work is to extend and study a family of transformations between Laplace exponents of Lévy processes which have been introduced recently in a variety of different contexts by Patie, Kyprianou and Patie, and, Gnedin, as well as in older work of Urbanik . We show how some specific instances of this mapping prove to be useful for a variety of applications.

Citations

• Special, conjugate and complete scale functions for spectrally negative Lévy processes

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