Exponential functional of a new family of Lévy processes and self-similar continuous state branching processes with immigration |
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| Authors: | Pierre Patie |
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| Affiliation: | Department of Mathematical Statistics and Actuarial Science, University of Bern, Sidlerstrasse, 5, CH-3012 Bern, Switzerland |
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| Abstract: | We first introduce and derive some basic properties of a two-parameters (α,γ) family of one-sided Lévy processes, with 1<α<2 and γ>−α. Their Laplace exponents are given in terms of the Pochhammer symbol as follows |
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| Keywords: | 60E07 60G18 60G51 33E12 |
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