Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization

DOI10.1016/J.CRMA.2013.04.023zbMATH Open1273.60057OpenAlexW2044403606MaRDI QIDQ357426FDOQ357426

Authors: Pierre Patie, Mladen Savov 

Publication date: 30 July 2013

Published in: Comptes Rendus. Mathématique. Académie des Sciences, Paris (Search for Journal in Brave)

Full work available at URL: https://doi.org/10.1016/j.crma.2013.04.023

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• scientific article; zbMATH DE number 1639847

zbMATH Keywords

exponential functionalWiener-Hopf factorization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

Cites Work

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• Beta-gamma random variables and intertwining relations between certain Markov processes
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• On continuity properties of the law of integrals of Lévy processes
• On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
• Extended factorizations of exponential functionals of Lévy processes
• Quasi-stationary distributions and Yaglom limits of self-similar Markov processes

Cited In (17)

• Ergodic properties of generalized Ornstein-Uhlenbeck processes
• Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups
• On the law of homogeneous stable functionals
• Asymptotics for densities of exponential functionals of subordinators
• Moments of exponential functionals of Lévy processes on a deterministic horizon -- identities and explicit expressions
• Asian options and meromorphic Lévy processes
• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• A Wiener-Hopf type factorization for the exponential functional of Lévy processes
• Spectral expansions of non-self-adjoint generalized Laguerre semigroups
• Title not available (Why is that?)
• Exponential functionals of Lévy processes and variable annuity guaranteed benefits
• Bernstein-gamma functions and exponential functionals of Lévy processes
• Implicit renewal theory for exponential functionals of Lévy processes
• Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution
• Spectral analysis of a class of Lévy-type processes and connection with some spin systems
• Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive
• Extended factorizations of exponential functionals of Lévy processes

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