Some properties of exponential integrals of Levy processes and examples (Q2461000)

Let \((X_{t},Y_{t})_{t\geq 0}\) be a Lévy process on \( \mathbb{R}^{1+d}\), with \((X_{t})_{t\geq 0}\) and \((Y_{t})_{t\geq 0}\) being \( \mathbb{R}\)-valued and \(\mathbb{R}^{d}\)-valued, respectively. The authors give conditions for existence and finiteness of the improper stochastic integral \(Z=\int_{0}^{\infty -}\exp (-X_{s-})\,dY_{s},\) and the law \( \mathcal{L}\left( Z\right) \) of \(Z\) is then considered. Sufficient conditions for \(\mathcal{L}\left( Z\right) \) to be either selfdecomposable or non-selfdecomposable but semi-selfdecomposable are given. The case where \( d=1,\;(X_{t})_{t\geq 0}\) and \((Y_{t})_{t\geq 0}\) are independent and the former is a Poisson process, is paid special attention. An example is given of a \(Z\) of the form \(Z\overset{\mathrm{d}}{=}V^{1/2}W\), with independent random variables \(V\) and \(W\), where \(V\) is non-negative infinitely divisible and selfdecomposable while \(W\) is a standard normal variable.