A Wiener-Hopf type factorization for the exponential functional of Lévy processes

DOI10.1112/jlms/jds028zbMath1272.60027arXiv1105.0062OpenAlexW2110454027MaRDI QIDQ3143925

Juan Carlos Pardo, Pierre Patie, Mladen Svetoslavov Savov

Publication date: 6 December 2012

Published in: Journal of the London Mathematical Society (Search for Journal in Brave)

Full work available at URL: https://arxiv.org/abs/1105.0062

zbMATH Keywords

Wiener-Hopf factorizationstationary measureexponential functionalladder height processspectrally positive Lévy processGOU process

Mathematics Subject Classification ID

Infinitely divisible distributions; stable distributions (60E07) Processes with independent increments; Lévy processes (60G51) Continuous-time Markov processes on general state spaces (60J25) Factorization theory (including Wiener-Hopf and spectral factorizations) of linear operators (47A68)

Related Items (15)

Spectral expansions of non-self-adjoint generalized Laguerre semigroups ⋮ Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization ⋮ Bernstein-gamma functions and exponential functionals of Lévy processes ⋮ Density solutions to a class of integro-differential equations ⋮ Exponential functionals of Markov additive processes ⋮ Asymptotic results for exponential functionals of Lévy processes ⋮ Asymptotics for exponential functionals of random walks ⋮ Implicit renewal theory for exponential functionals of Lévy processes ⋮ On temporally completely monotone functions for Markov processes ⋮ On distributions of exponential functionals of the processes with independent increments ⋮ A temporal factorization at the maximum for certain positive self-similar Markov processes ⋮ Asymptotic results for heavy-tailed Lévy processes and their exponential functionals ⋮ Asian options and meromorphic Lévy processes ⋮ Quasi-stationary distributions and Yaglom limits of self-similar Markov processes ⋮ Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive

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