On distributions of exponential functionals of the processes with independent increments

DOI10.15559/20-VMSTA159MaRDI QIDQ2218142zbMATH OpenOpenAlexWikidataFDO

Authors Lioudmila Vostrikova

Publication date 14 January 2021

Published in Modern Stochastics. Theory and Applications (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1804.07069

zbMATH Keywords

exponential functionalprocess with independent incrementsKolmogorov-type equationsmoothness of the density

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Financial applications of other theories (91G80)

Abstract: The aim of this paper is to study the laws of the exponential functionals of the processes $X$ with independent increments, namely ${\displaystyle }$I_t= int _0^texp(-X_s)ds, ,, tgeq 0,${\displaystyle }$ and also ${\displaystyle }$I_{infty}= int _0^{infty}exp(-X_s)ds.${\displaystyle }$ Under suitable conditions we derive the integro-differential equations for the density of $I_t$ and $I_{infty}$. We give sufficient conditions for the existence of smooth density of the laws of these functionals. In the particular case of Levy processes these equations can be simplified and, in a number of cases, solved explicitly.

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