A note on a Poissonian functional and a $q$-deformed Dufresne identity

Abstract

In this note, we compute the Mellin transform of a Poissonian exponential functional, the underlying process being a simple continuous time random walk. It shows that the Poissonian functional can be expressed in term of the inverse of a $q$-gamma random variable. The result interpolates between two known results. When the random walk has only positive increments, we retrieve a theorem due to Bertoin, Biane and Yor. In the Brownian limit ($q\to 1^{-}$), one recovers Dufresne's identity involving an inverse gamma random variable. Hence, one can see it as a $q$-deformed Dufresne identity.

14 pages. v1: preliminary. v2: submitted. v3. v4: published

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