Continuity properties and the support of killed exponential functionals

DOI10.1016/J.SPA.2021.06.002zbMATH Open1475.60086arXiv1912.03052OpenAlexW3171001801WikidataQ115566890 ScholiaQ115566890MaRDI QIDQ1979899FDOQ1979899

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

Publication date: 3 September 2021

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

Abstract: For two independent L'evy processes

x i

and

e t a

and an exponentially distributed random variable

a u

with parameter

q > 0

, independent of

x i

and

e t a

, the killed exponential functional is given by

V_{q, x i, e t a} : = i n t_{0}^{a} u m a t h r m e^{- x i_{s -}}, m a t h r m d e t a_{s}

. Interpreting the case

q = 0

as

a u = i n f t y

, the random variable

V_{q, x i, e t a}

is a natural generalization of the exponential functional

i n t_{0}^{i} n f t y m a t h r m e^{- x i_{s -}}, m a t h r m d e t a_{s}

, the law of which is well-studied in the literature as it is the stationary distribution of a generalised Ornstein-Uhlenbeck process. In this paper we show that also the law of the killed exponential functional

V_{q, x i, e t a}

arises as a stationary distribution of a solution to a stochastic differential equation, thus establishing a close connection to generalised Ornstein-Uhlenbeck processes. Moreover, the support and continuity of the law of killed exponential functionals is characterised, and many sufficient conditions for absolute continuity are derived. We also obtain various new sufficient conditions for absolute continuity of