English

On the law of killed exponential functionals

Probability 2023-02-08 v1

Abstract

For two independent L\'{e}vy processes ξ\xi and η\eta and an exponentially distributed random variable τ\tau with parameter q>0q>0 that is independent of ξ\xi and η\eta, the killed exponential functional is given by Vq,ξ,η:=0τeξsdηsV_{q,\xi,\eta} := \int_0^\tau \mathrm{e}^{-\xi_{s-}} \, \mathrm{d} \eta_s. With the killed exponential functional arising as the stationary distribution of a Markov process, we calculate the infinitesimal generator of the process and use it to derive different distributional equations describing the law of Vq,ξ,ηV_{q,\xi,\eta}, as well as functional equations for its Lebesgue density in the absolutely continuous case. Various special cases and examples are considered, yielding more explicit information on the law of the killed exponential functional and illustrating the applications of the equations obtained. Interpreting the case q=0q=0 as τ=\tau=\infty leads to the classical exponential functional 0eξsdηs\int_0^\infty \mathrm{e}^{-\xi_{s-}} \, \mathrm{d} \eta_s, allowing to extend many previous results to include killing.

Keywords

Cite

@article{arxiv.2003.02073,
  title  = {On the law of killed exponential functionals},
  author = {Anita Behme and Alexander Lindner and Jana Reker},
  journal= {arXiv preprint arXiv:2003.02073},
  year   = {2023}
}
R2 v1 2026-06-23T14:03:41.078Z