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

zbMATH Open1355.60061arXiv1601.03463MaRDI QIDQ2954465FDOQ2954465

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

Publication date: 13 January 2017

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.

Full work available at URL: https://arxiv.org/abs/1601.03463

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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)

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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
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