English

On the range of exponential functionals of L\'evy processes

Probability 2014-10-14 v2

Abstract

We characterize the support of the law of the exponential functional 0eξsdηs\int_0^\infty e^{-\xi_{s-}} \, d\eta_s of two one-dimensional independent L\'evy processes ξ\xi and η\eta. Further, we study the range of the mapping Φξ\Phi_\xi for a fixed L\'evy process ξ\xi, which maps the law of η1\eta_1 to the law of the corresponding exponential functional 0eξsdηs\int_0^\infty e^{-\xi_{s-}} \, d\eta_s. It is shown that the range of this mapping is closed under weak convergence and in the special case of positive distributions several characterizations of laws in the range are given.

Keywords

Cite

@article{arxiv.1402.6559,
  title  = {On the range of exponential functionals of L\'evy processes},
  author = {Anita Behme and Alexander Lindner and Makoto Maejima},
  journal= {arXiv preprint arXiv:1402.6559},
  year   = {2014}
}
R2 v1 2026-06-22T03:16:18.957Z