English

Exponential functionals of L\'evy processes with jumps

Probability 2015-04-24 v2

Abstract

We study 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, where η\eta 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 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, and study the behaviour of the range of Φξ\Phi_\xi for varying characteristics of ξ\xi. 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}
}
R2 v1 2026-06-22T09:16:00.109Z