Continuity properties and the support of killed exponential functionals

DOI10.1016/J.SPA.2021.06.002MaRDI QIDQ1979899zbMATH OpenOpenAlexWikidataFDO

Authors Anita Behme, Alexander Lindner, Jana Reker, Víctor Manuel Rivero

Publication date 3 September 2021

Published in Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1912.03052

zbMATH Keywords

absolute continuitysupportexponential functionalKillinggeneralised Ornstein-Uhlenbeck processLévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuity and singularity of induced measures (60G30)

Abstract: For two independent L'evy processes $xi$ and $eta$ and an exponentially distributed random variable $au$ with parameter $q>0$, independent of $xi$ and $eta$, the killed exponential functional is given by $V_{q,xi,eta}:=in{t}_0^{a}umathrm{e}^{-x{i}_{s-}},mathrmdet{a}_s$. Interpreting the case $q=0$ as $au=infty$, the random variable $V_{q,xi,eta}$ is a natural generalization of the exponential functional $in{t}_0^{i}nftymathrm{e}^{-x{i}_{s-}},mathrmdet{a}_s$, the law of which is well-studied in the literature as it is the stationary distribution of a generalised Ornstein-Uhlenbeck process. In this paper we show that also the law of the killed exponential functional $V_{q,xi,eta}$ arises as a stationary distribution of a solution to a stochastic differential equation, thus establishing a close connection to generalised Ornstein-Uhlenbeck processes. Moreover, the support and continuity of the law of killed exponential functionals is characterised, and many sufficient conditions for absolute continuity are derived. We also obtain various new sufficient conditions for absolute continuity of $smashin{t}_0^{t}mathrm{e}^{-x{i}_{s-}}mathrmdet{a}_s$ for fixed $tgeq0$, as well as for integrals of the form $smashin{t}_0^{i}nftyf(s),mathrmdet{a}_s$ for deterministic functions $f$. Furthermore, applying the same techniques to the case $q=0$, new results on the absolute continuity of the improper integral $in{t}_0^{i}nftymathrm{e}^{-x{i}_{s-}},mathrmdet{a}_s$ are derived.

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• On ruin probabilities with investments in a risky asset with a regime-switching price

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