More on hypergeometric Levy processes

Abstract

Kuznetsov et al. (2011) and Kuznetsov and Pardo (2013) introduced the family of Hypergeometric L\'evy processes. They appear naturally in the study of fluctuations of stable processes when one analyses stable processes through the theory of positive self-similar Markov processes. Hypergeometric L\'evy processes are defined through their characteristic exponent, which, as a complex-valued function, has four independent parameters. Kyprianou et al. (2014) showed that the definition of a Hypergeometric L\'evy process could be taken to include a greater range of the aforesaid parameters than originally specified. In this short article, we push the parameter range even further. In particular, we calculate the underlying L\'evy measure and potential measures of the Wiener--Hopf factors.