Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization

DOI10.1016/j.crma.2013.04.023zbMath1273.60057OpenAlexW2044403606MaRDI QIDQ357426

Pierre Patie, Mladen Svetoslavov Savov

Publication date: 30 July 2013

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2013.04.023

zbMATH Keywords

Wiener-Hopf factorizationexponential functional

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Related Items

Spectral expansions of non-self-adjoint generalized Laguerre semigroups, Bernstein-gamma functions and exponential functionals of Lévy processes, Ergodic properties of generalized Ornstein-Uhlenbeck processes, Implicit renewal theory for exponential functionals of Lévy processes, Exponential functionals of Lévy processes and variable annuity guaranteed benefits, On the law of homogeneous stable functionals, Asian options and meromorphic Lévy processes, Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups, Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution, Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive

Cites Work

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