On moments of integral exponential functionals of additive processes

DOI10.1016/j.spl.2018.11.011zbMath1407.60115arXiv1803.04859OpenAlexW2962736986WikidataQ115566837 ScholiaQ115566837MaRDI QIDQ1726859

Lioudmila Vostrikova, Paavo H. Salminen

Publication date: 20 February 2019

Published in: Statistics \& Probability Letters (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1803.04859

zbMATH Keywords

Bessel processsubordinatorLévy processgeometric Brownian motionindependent increments

Mathematics Subject Classification ID

Characteristic functions; other transforms (60E10) Diffusion processes (60J60)

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Exponential functionals of Markov additive processes, Revisiting integral functionals of geometric Brownian motion, On the Ruin Problem with Investment When the Risky Asset Is a Semimartingale, On distributions of exponential functionals of the processes with independent increments

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