Distributional properties of solutions of dV_T = V_T- dU_T + dL_T with Lévy noise
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Cites work
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- Perpetuities with thin tails
- Products of random affine transformations
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- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- Stochastic Integration with Jumps
Cited in
(19)- Ergodic properties of generalized Ornstein-Uhlenbeck processes
- Distributions of exponential integrals of independent increment processes related to generalized gamma convolutions
- Continuity properties and the support of killed exponential functionals
- On the law of killed exponential functionals
- Second-order tail behavior for stochastic discounted value of aggregate net losses in a discrete-time risk model
- Superposition of COGARCH processes
- On the stochastic equation \(\mathcal{L}(Z) = \mathcal{L} [V(X + Z)]\) and properties of Mittag-Leffler distributions
- A criterion for invariant measures of Itô processes based on the symbol
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- Lévy Systems and Moment Formulas for Mixed Poisson Integrals
- Moments of MGOU processes and positive semidefinite matrix processes
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- Stationary solutions of the stochastic differential equation \(dV_t = V_t -dU_t + dL_t\) with Lévy noise
- On moments of integrals with respect to Markov additive processes and of Markov modulated generalized Ornstein-Uhlenbeck processes
- Parameter estimation for partially observed affine and polynomial processes
- One-dimensional space-discrete transport subject to Lévy perturbations
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