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6 papers · 1 filter
Fluctuations of stable processes and exponential functionals of hypergeometric Levy processes
Alexey Kuznetsov, Juan Carlos Pardo
We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponent…
Wiener-Hopf factorization and distribution of extrema for a family of Lévy processes
Alexey Kuznetsov
In this paper we introduce a ten-parameter family of Lévy processes for which we obtain Wiener-Hopf factors and distribution of the supremum process in semi-explicit form. This fam…
Meromorphic Levy processes and their fluctuation identities
Alexey Kuznetsov, Andreas E. Kyprianou, Juan Carlos Pardo
The last couple of years has seen a remarkable number of new, explicit examples of the Wiener-Hopf factorization for Levy processes where previously there had been very few. We men…
Extension of the Olkin and Rubin Characterization to the Wishart distribution on homogeneous cones
Imen Boutouria, Abdelhamid Hassairi, Helene Massam
The Wishart distribution on an homogeneous cone is a generalization of the Riesz distribution on a symmetric cone which corresponds to a given graph. The paper extends to this dist…
Filtration shrinkage by level-crossings of a diffusion
A. Deniz Sezer
We develop the mathematics of a filtration shrinkage model that has recently been considered in the credit risk modeling literature. Given a finite collection of points $x_1<...<x_…
Moments of minors of Wishart matrices
Mathias Drton, Hélène Massam, Ingram Olkin
For a random matrix following a Wishart distribution, we derive formulas for the expectation and the covariance matrix of compound matrices. The compound matrix of order is pop…