Exponential functionals of L\'evy processes with jumps
Probability
2015-04-24 v2
Abstract
We study the exponential functional of two one-dimensional independent L\'evy processes and , where is a subordinator. In particular, we derive an integro-differential equation for the density of the exponential functional whenever it exists. Further, we consider the mapping for a fixed L\'evy process , which maps the law of to the law of the corresponding exponential functional , and study the behaviour of the range of for varying characteristics of . Moreover, we derive conditions for selfdecomposable distributions and generalized Gamma convolutions to be in the range. On the way we also obtain new characterizations of these classes of distributions.
Keywords
Cite
@article{arxiv.1504.03660,
title = {Exponential functionals of L\'evy processes with jumps},
author = {Anita Behme},
journal= {arXiv preprint arXiv:1504.03660},
year = {2015}
}