Continuity properties and the support of killed exponential functionals

DOI10.1016/j.spa.2021.06.002zbMath1475.60086arXiv1912.03052OpenAlexW3171001801WikidataQ115566890 ScholiaQ115566890MaRDI QIDQ1979899

Víctor Manuel Rivero, Jana Reker, Anita Behme, Alexander M. Lindner

Publication date: 3 September 2021

Published in: Stochastic Processes and their Applications (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1912.03052

zbMATH Keywords

Lévy processessupportexponential functionalabsolute continuityKillinggeneralised Ornstein-Uhlenbeck process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Stochastic ordinary differential equations (aspects of stochastic analysis) (60H10) Continuity and singularity of induced measures (60G30)

Related Items (2)

Markov-modulated generalized Ornstein-Uhlenbeck processes and an application in risk theory ⋮ On ruin probabilities with investments in a risky asset with a regime-switching price

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