On distributions of exponential functionals of the processes with independent increments

DOI10.15559/20-VMSTA159zbMATH Open1457.60065arXiv1804.07069OpenAlexW3122674739WikidataQ115513724 ScholiaQ115513724MaRDI QIDQ2218142FDOQ2218142

Authors: Lioudmila Vostrikova 

Publication date: 14 January 2021

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

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.

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

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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)

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