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 of two one-dimensional independent L\'evy processes and . Further, we study the range of the mapping for a fixed L\'evy process , which maps the law of to the law of the corresponding exponential functional . 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}
}