Exponential functionals of Lévy processes with jumps

Publication date 25 August 2015

Full work available at URL https://arxiv.org/abs/1504.03660, http://alea.impa.br/articles/v12/12-15.pdf

stationarity self-decomposability exponential functional generalized gamma convolution generalized Ornstein-Uhlenbeck process integral mapping COGARCH volatility Lévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stationary stochastic processes (60G10)

Abstract: We study the exponential functional

i n t_{0}^{i} n f t y e^{- x i_{s -}}, d e t a_{s}

of two one-dimensional independent L'evy processes

x i

and

e t a

, where

e t a

is a subordinator. In particular, we derive an integro-differential equation for the density of the exponential functional whenever it exists. Further, we consider the mapping

P h i_{x} i

for a fixed L'evy process

x i

, which maps the law of

e t a_{1}

to the law of the corresponding exponential functional

i n t_{0}^{i} n f t y e^{- x i_{s -}}, d e t a_{s}

, and study the behaviour of the range of

P h i_{x} i

for varying characteristics of

x i

. Moreover, we derive conditions for selfdecomposable distributions and generalized Gamma convolutions to be in the range. On the way we also obtain new characterizations of these classes of distributions.

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