相关论文: Cramer's estimate for the exponential functional o…

In this paper, we study the existence of the density associated to the exponential functional of the L\'evy process $\xi$, \[ I_{\ee_q}:=\int_0^{\ee_q} e^{\xi_s} \, \mathrm{d}s, \] where $\ee_q$ is an independent exponential r.v. with…

In this paper, we consider the exponential functional \(A_{\infty}=\int_0^\infty e^{-\xi_s}ds\) of a L{\'e}vy process \(\xi_s\) and aim to estimate the characteristics of \(\xi_{s}\) from the distribution of \(A_{\infty}\). We present a new…

We study the properties of the exponential functional $\int\_0^{+ \infty} e^{- X^{\uparrow} (t)}dt$ where $X^{\uparrow}$ is a spectrally one-sided L{\'e}vy process conditioned to stay positive. In particular, we study finiteness,…

This text surveys properties and applications of the exponential functional $\int_0^t\exp(-\xi_s)ds$ of real-valued L\'evy processes $\xi=(\xi_t,t\geq0)$.

We study the distribution of the exponential functional $I(\xi,\eta)=\int_0^{\infty} \exp(\xi_{t-}) \d \eta_t$, where $\xi$ and $\eta$ are independent L\'evy processes. In the general setting using the theories of Markov processes and…

Let $\xi=(\xi_t, t\ge 0)$ be a real-valued L\'evy process and define its associated exponential functional as follows \[ I_t(\xi):=\int_0^t \exp\{-\xi_s\}{\rm d} s, \qquad t\ge 0. \] Motivated by important applications to stochastic…

We investigate the upper tail probabilities of the all-time maximum of a stable L\'evy process with a power negative drift. The asymptotic behaviour is shown to be exponential in the spectrally negative case and polynomial otherwise, with…

The reflected process of a random walk or L\'evy process arises in many areas of applied probability, and a question of particular interest is how the tail of the distribution of the heights of the excursions away from zero behaves…

Let $\tau(x)$ be the first time the reflected process $Y$ of a Levy processes $X$ crosses x>0. The main aim of the paper is to investigate the asymptotic dependence of the path functionals: $Y(t) = X(t) - \inf_{0\leq s\leq t}X(s)$,…

We study the exponential functional $\int_0^\infty e^{-\xi_{s-}} \, d\eta_s$ of two one-dimensional independent L\'evy processes $\xi$ and $\eta$, where $\eta$ is a subordinator. In particular, we derive an integro-differential equation for…

In this paper we first provide several conditional limit theorems for L\'evy processes with negative drift and regularly varying tail. Then we apply them to study the asymptotic behavior of expectations of some exponential functionals of…

We determine the rate of decrease of the right tail distribution of the exponential functional of a Levy process with a convolution equivalent Levy measure. Our main result establishes that it decreases as the right tail of the image under…

We characterize the support of the law of the exponential functional $\int_0^\infty e^{-\xi_{s-}} \, d\eta_s$ of two one-dimensional independent L\'evy processes $\xi$ and $\eta$. Further, we study the range of the mapping $\Phi_\xi$ for a…

In this work we give a complete description to the asymptotic behaviors of exponential functionals of L\'evy processes and divide them into five different types according to their convergence rates. Not only their exact convergence speeds…

The natural analogue for a Levy process of Cramer's estimate for a reflected random walk is a statement about the exponential rate of decay of the tail of the characteristic measure of the height of an excursion above the minimum. We…

For a L\'evy process $\xi=(\xi_t)_{t\geq0}$ drifting to $-\infty$, we define the so-called exponential functional as follows \[{\rm{I}}_{\xi}=\int_0^{\infty}e^{\xi_t} dt.\] Under mild conditions on $\xi$, we show that the following…

By killing a stable L\'{e}vy process when it leaves the positive half-line, or by conditioning it to stay positive, or by conditioning it to hit 0 continuously, we obtain three different positive self-similar Markov processes which…

Consider a Lamperti-Kiu Markov additive process $(J_t,\xi_t:t\geq0)$ on $\{+,-\}\times\mathbb{R}\cup\infty$ where $J$ is the modulating Markov chain component. First, we study the finiteness of the exponential functional and then consider…

In this paper we study the exponential functionals of the processes $X$ with independent increments , namely $$I_t= \int _0^t\exp(-X_s)ds, _,\,\, t\geq 0,$$ and also $$I_{\infty}= \int _0^{\infty}\exp(-X_s)ds.$$ When $X$ is a…

In this paper, we establish the precise asymptotic behaviors of the tail probability and the transition density of a large class of isotropic L\'evy processes when the scaling order is between 0 and 2 including 2. We also obtain the precise…