On the density of exponential functionals of Lévy processes (Q2435229)
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English | On the density of exponential functionals of Lévy processes |
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On the density of exponential functionals of Lévy processes (English)
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4 February 2014
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Results for exponential functionals of a Lévy process \(\xi\) [\textit{P. Carmona} et al., in: Exponential functionals and principal values related to Brownian motion. A collection of research papers. Madrid: Univ. Autónoma de Madrid, Departamento de Matemáticas. 73--126 (1997; Zbl 0905.60056); \textit{J. Bertoin} et al., Lect. Notes Math. 1934, 137--159 (2008; Zbl 1180.60042)] are generalized from \(\int_0^\infty e^{\xi_s}ds\) to \(\int_0^{e^q} e^{\xi_s}ds\), where \(e^q\) is an independent exponential r.v.\ with parameter \(q \geq 0\). In the case where \(\xi\) is the negative of a subordinator, it is proved that the density of this r.v.\ satisfies an integral equation generalizing that reported by \textit{P. Carmona} et al. [loc.\,cit.]. For \(q = 0\), the asymptotic behavior at 0 of the density when \(\xi\) is the negative of a subordinator and at \(\infty\) when \(\xi\) is a spectrally positive Lévy process that drifts to \(+\infty\) is described explicitly. Numerical examples are given.
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exponential functional
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Lévy processes
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self-similar Markov processes
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subordinators
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