Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
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Abstract: We study the distribution and various properties of exponential functionals of hypergeometric Levy processes. We derive an explicit formula for the Mellin transform of the exponential functional and give both convergent and asymptotic series expansions of its probability density function. As applications we present a new proof of some of the results on the density of the supremum of a stable process, which were recently obtained by Kuznetsov "On extrema of stable processes" (2010) and Hubalek and Kuznetsov "A convergent series representation for the density of the supremum of a stable process" (2010). We also derive some new results related to (i) the entrance law of the stable process conditioned to stay positive, (ii) the entrance law of the excursion measure of the stable process reflected at its past infimum and (iii) the entrance law and the last passage time of the radial part of n-dimensional symmetric stable process.
The authors study exponential functionals of hypergeometric Lévy processes which include, for instance, the Lamperi-stable processes. The Mellin transform as well as convergent and asymptotic series representations are obtained for the density of the exponential functional. The proof relies on a verification result which gives explicit conditions to identify the Mellin transform uniquely. The results are applied to fluctuations of stable processes. In particular, they determine densities of the supremum of stable processes, of the entrance law of the excursion measure of a stable processes reflected at its past infimum, and of the entrance law of a stable process conditioned to stay positive. Further results on multidimensional symmetric stable processes are obtained.
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- scientific article; zbMATH DE number 1163909
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