Asymptotic behaviour of exponential functionals of Lévy processes with applications to random processes in random environment

MaRDI QIDQ2954465zbMATH OpenFDO

Authors J. C. Pardo, Charline Smadi, Sandra Palau

Publication date 13 January 2017

Full work available at URL https://arxiv.org/abs/1601.03463, http://alea.impa.br/articles/v13/13-44.pdf

zbMATH Keywords

asymptoticsrandom environmentdiffusionsextinction probabilityexponential functionalcontinuous-state branching processeslogistic processexplosion probabilityLévy processes

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51) Diffusion processes (60J60) Limit theorems in probability theory (60F99) Branching processes (Galton-Watson, birth-and-death, etc.) (60J80) Sample path properties (60G17) Processes in random environments (60K37)

Abstract: Let $xi=(x{i}_t,tge0)$ be a real-valued L'evy process and define its associated exponential functional as follows [ I_t(xi):=int_0^t exp{-xi_s}{ m d} s, qquad tge 0. ] Motivated by important applications to stochastic processes in random environment, we study the asymptotic behaviour of [ mathbb{E}Big[F�ig(I_t(xi)�ig)Big] qquad extrm{as}qquad t o infty, ] where $F$ is a non-increasing function with polynomial decay at infinity and under some exponential moment conditions on $xi$. In particular, we find five different regimes that depend on the shape of the Laplace exponent of $xi$. Our proof relies on a discretisation of the exponential functional $I_t(xi)$ and is closely related to the behaviour of functionals of semi-direct products of random variables. We apply our main result to three {questions} associated to stochastic processes in random environment. We first consider the asymptotic behaviour of extinction and explosion for {stable} continuous state branching processes in a L'evy random environment. Secondly, we {focus on} the asymptotic behaviour of the mean of a population model with competition in a L'evy random environment and finally, we study the tail behaviour of the maximum of a diffusion process in a L'evy random environment.

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Cited in

(17)

• Parasite infection in a cell population: role of the partitioning kernel
• Extinction rate of continuous state branching processes in critical Lévy environments
• Speed of extinction for continuous state branching processes in subcritical Lévy environments: the strongly and intermediate regimes
• Branching processes in a Lévy random environment
• Asymptotics for densities of exponential functionals of subordinators
• Asymptotics for $$d$$ -Dimensional Lévy-Type Processes
• Speed of extinction for continuous-state branching processes in a weakly subcritical Lévy environment
• Long time behaviour of continuous-state nonlinear branching processes with catastrophes
• Explosion rates for continuous-state branching processes in a Lévy environment
• Asymptotic results for heavy-tailed Lévy processes and their exponential functionals
• Bernstein-gamma functions and exponential functionals of Lévy processes
• Asymptotic results for exponential functionals of Lévy processes
• On the finiteness and tails of perpetuities under a Lamperti-Kiu map
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• Asymptotics for exponential functionals of random walks
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