On the density of exponential functionals of Lévy processes

DOI10.3150/12-BEJ436MaRDI QIDQ2435229zbMATH OpenFDO

Authors Víctor Manuel Rivero, Kees van Schaik, J. C. Pardo

Publication date 4 February 2014

Published in Bernoulli (Search for Journal in Brave)

Full work available at URL https://arxiv.org/abs/1107.3760

zbMATH Keywords

exponential functionalLévy processesself-similar Markov processessubordinators

Mathematics Subject Classification ID

Self-similar stochastic processes (60G18) Processes with independent increments; Lévy processes (60G51) Markov processes (60J99) Asymptotic distribution theory in statistics (62E20)

Abstract: In this paper, we study the existence of the density associated to the exponential functional of the L'evy process $xi$, [ I_{ee_q}:=int_0^{ee_q} e^{xi_s} , mathrm{d}s, ] where $e{e}_q$ is an independent exponential r.v. with parameter $qgeq0$. In the case when $xi$ is the negative of a subordinator, we prove that the density of $I_{e{e}_q}$, here denoted by $k$, satisfies an integral equation that generalizes the one found by Carmona et al. cite{Carmona97}. Finally when $q=0$, we describe explicitly the asymptotic behaviour at 0 of the density $k$ when $xi$ is the negative of a subordinator and at $infty$ when $xi$ is a spectrally positive L'evy process that drifts to $+infty$.

Review text

Results for exponential functionals of a Lévy process \(\xi\) [\textit{P. Carmona} et al., in: Exponential functionals and principal values related to Brownian motion. A collection of research papers. Madrid: Univ. Autónoma de Madrid, Departamento de Matemáticas. 73--126 (1997; Zbl 0905.60056); \textit{J. Bertoin} et al., Lect. Notes Math. 1934, 137--159 (2008; Zbl 1180.60042)] are generalized from \(\int_0^\infty e^{\xi_s}ds\) to \(\int_0^{e^q} e^{\xi_s}ds\), where \(e^q\) is an independent exponential r.v.\ with parameter \(q \geq 0\). In the case where \(\xi\) is the negative of a subordinator, it is proved that the density of this r.v.\ satisfies an integral equation generalizing that reported by \textit{P. Carmona} et al. [loc.\,cit.]. For \(q = 0\), the asymptotic behavior at 0 of the density when \(\xi\) is the negative of a subordinator and at \(\infty\) when \(\xi\) is a spectrally positive Lévy process that drifts to \(+\infty\) is described explicitly. Numerical examples are given.

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Cited in

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