On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator

DOI10.3150/12-BEJSP01zbMath1287.60096arXiv1309.7801OpenAlexW4299587543MaRDI QIDQ373531

Marc Yor, Francis Hirsch

Publication date: 17 October 2013

Published in: Bernoulli (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1309.7801

zbMATH Keywords

Mellin transforminverse local timemultiplicative infinite divisibility

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

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Multifractal processes: definition, properties and new examples ⋮ Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization ⋮ Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Weak similarity orbit of (log)‐self‐similar Markov semigroups on the Euclidean space ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ Moment problems related to Bernstein functions ⋮ On the law of homogeneous stable functionals ⋮ The log-Lévy moment problem via Berg–Urbanik semigroups ⋮ Fractional Moments of Solutions to Stochastic Recurrence Equations ⋮ Explicit Formulae in Probability and in Statistical Physics

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