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arXiv:1010.3819 [math.PR]AbstractReferencesReviewsResources

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

Marie Chazal, Andreas E. Kyprianou, Pierre Patie

Published 2010-10-19Version 1

The aim of this work is to extend and study a family of transformations between Laplace exponents of L\'evy 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.

Categories: math.PR
Subjects: 60G51, 60G18, 33C20
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