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

DOI10.1016/J.CRMA.2013.04.023MaRDI QIDQ357426zbMATH OpenOpenAlexFDO

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

zbMATH Keywords

exponential functionalWiener-Hopf factorization

Mathematics Subject Classification ID

Processes with independent increments; Lévy processes (60G51)

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• scientific article; zbMATH DE number 1402217 (Why is no real title available?)
• A Wiener-Hopf type factorization for the exponential functional of Lévy processes
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• Exponential functionals of Brownian motion and related processes
• Exponential functionals of Lévy processes
• Extended factorizations of exponential functionals of Lévy processes
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• Law of the absorption time of some positive self-similar Markov processes
• On continuity properties of the law of integrals of Lévy processes
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• Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
• Tail asymptotics for exponential functionals of Lévy processes

Cited in

(17)

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• 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
• On the distribution of exponential functionals for Lévy processes with jumps of rational transform
• Asian options and meromorphic Lévy processes
• A Wiener-Hopf type factorization for the exponential functional of Lévy processes
• Spectral expansions of non-self-adjoint generalized Laguerre semigroups
• scientific article; zbMATH DE number 224169 (Why is no real title available?)
• 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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