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

TL;DR

This paper derives a Mellin transform for a Poissonian exponential functional linked to a continuous-time random walk, revealing a $q$-deformed Dufresne identity that interpolates between known results involving inverse gamma variables.

Contribution

It introduces a $q$-deformed Dufresne identity by connecting Poissonian functionals with $q$-gamma distributions, unifying previous results and extending their scope.

Findings

Expressed Poissonian functional in terms of inverse $q$-gamma variable

Interpolates between positive increment walk results and Brownian limit

Recovers classical Dufresne's identity as $q o 1^-$

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 ($q \rightarrow 1^-$), one recovers Dufresne's identity involving an inverse gamma random variable. Hence, one can see it as a $q$-deformed Dufresne identity.