On the law of killed exponential functionals

DOI10.1214/21-EJP616zbMATH Open1469.60061arXiv2003.02073WikidataQ115517654 ScholiaQ115517654MaRDI QIDQ2042822FDOQ2042822

Authors: Anita Behme, Alexander Lindner, Jana Reker 

Publication date: 21 July 2021

Published in: Electronic Journal of Probability (Search for Journal in Brave)

Abstract: For two independent L'{e}vy processes $xi$ and $eta$ and an exponentially distributed random variable $au$ with parameter $q>0$ that is independent of $xi$ and $eta$, the killed exponential functional is given by $V_{q,xi,eta}:=in{t}_0^{a}umathrm{e}^{-x{i}_{s-}},mathrmdet{a}_s$. With the killed exponential functional arising as the stationary distribution of a Markov process, we calculate the infinitesimal generator of the process and use it to derive different distributional equations describing the law of $V_{q,xi,eta}$, as well as functional equations for its Lebesgue density in the absolutely continuous case. Various special cases and examples are considered, yielding more explicit information on the law of the killed exponential functional and illustrating the applications of the equations obtained. Interpreting the case $q=0$ as $au=infty$ leads to the classical exponential functional $in{t}_0^{i}nftymathrm{e}^{-x{i}_{s-}},mathrmdet{a}_s$, allowing to extend many previous results to include killing.

Full work available at URL: https://arxiv.org/abs/2003.02073

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zbMATH Keywords

densityinfinitesimal generatorexponential functionalKillinggeneralised Ornstein-Uhlenbeck processLévy processes

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Characteristic functions; other transforms (60E10) Processes with independent increments; Lévy processes (60G51) Transition functions, generators and resolvents (60J35)

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Cited In (8)

• Asymptotics for densities of exponential functionals of subordinators
• Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
• EXPONENTIAL LAW AND θ-CONTINUOUS FUNCTIONS
• Multitype self-similar growth-fragmentation processes
• Exponential ergodicity of killed Lévy processes in a finite interval
• Implicit renewal theory for exponential functionals of Lévy processes
• Exponential laws for ultrametric partially differentiable functions and applications
• Continuity properties and the support of killed exponential functionals

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