139 citations · 165 across the 3 of their papers we have counts for
3 papers
math.PR2010★ 9 cited
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…
math.PR2010★ 139 cited
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…
math.PR2007★ 17 cited
Transformations of Markov Processes and Classification Scheme for Solvable Driftless Diffusions
Claudio Albanese, Alexey Kuznetsov
We propose a new classification scheme for diffusion processes for which the backward Kolmogorov equation is solvable in analytically closed form by reduction to hypergeometric equ…