Tail asymptotics for exponential functionals of Lévy processes

DOI10.1016/j.spa.2005.09.002zbMath1090.60046OpenAlexW2808072009MaRDI QIDQ2490054

Krishanu Maulik, Bert Zwart

Publication date: 28 April 2006

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

Full work available at URL: https://doi.org/10.1016/j.spa.2005.09.002

zbMATH Keywords

Mellin transformsTauberian theoremsBreiman's theoremSubexponential distributionsPerpetuities

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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