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

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

2010-10-19

arxiv.org/abs/1010.3819v1

Mathematics

Probability

Scientific paper

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.

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