On moments of integral exponential functionals of additive processes

DOI10.1016/j.spl.2018.11.011zbMath1407.60115arXiv1803.04859OpenAlexW2962736986WikidataQ115566837 ScholiaQ115566837MaRDI QIDQ1726859

Lioudmila Vostrikova, Paavo H. Salminen

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.04859

zbMATH Keywords

Bessel processsubordinatorLévy processgeometric Brownian motionindependent increments

Mathematics Subject Classification ID

Related Items (4)

Exponential functionals of Markov additive processes ⋮ Revisiting integral functionals of geometric Brownian motion ⋮ On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale ⋮ On distributions of exponential functionals of the processes with independent increments

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• On Exponential Functionals of Processes with Independent Increments

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