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