Some explicit identities associated with positive self-similar Markov processes

Abstract

We consider some special classes of L\'evy processes with no gaussian component whose L\'evy measure is of the type $\pi(dx)=e^{\gamma x}\nu(e^x-1) dx$, where $\nu$ is the density of the stable L\'evy measure and $\gamma$ is a positive parameter which depends on its characteristics. These processes were introduced in \cite{CC} as the underlying L\'evy processes in the Lamperti representation of conditioned stable L\'evy processes. In this paper, we compute explicitly the law of these L\'evy processes at their first exit time from a finite or semi-finite interval, the law of their exponential functional and the first hitting time probability of a pair of points.