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

DOI10.1016/j.crma.2013.04.023zbMath1273.60057MaRDI QIDQ357426

Pierre Patie, Mladen Svetoslavov 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

Wiener-Hopf factorization; exponential functional

Mathematics Subject Classification ID

60G51: Processes with independent increments; Lévy processes

Related Items

On the law of homogeneous stable functionals, Spectral expansions of non-self-adjoint generalized Laguerre semigroups, Implicit renewal theory for exponential functionals of Lévy processes, Bernstein-gamma functions and exponential functionals of Lévy processes, Ergodic properties of generalized Ornstein-Uhlenbeck processes, Exponential functionals of Lévy processes and variable annuity guaranteed benefits, Asian options and meromorphic Lévy processes, Intertwining, excursion theory and Krein theory of strings for non-self-adjoint Markov semigroups, Extinction time of non-Markovian self-similar processes, persistence, annihilation of jumps and the Fréchet distribution, Exponential functionals of spectrally one-sided Lévy processes conditioned to stay positive

Cites Work

• Unnamed Item
• Unnamed Item
• Unnamed Item
• Unnamed Item
• On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator
• Law of the absorption time of some positive self-similar Markov processes
• Extended factorizations of exponential functionals of Lévy processes
• Quasi-stationary distributions and Yaglom limits of self-similar Markov processes
• Exponential functionals of Lévy processes
• Beta-gamma random variables and intertwining relations between certain Markov processes
• On subordinators, self-similar Markov processes and some factorizations of the exponential variable
• Fluctuations of stable processes and exponential functionals of hypergeometric Lévy processes
• Tail asymptotics for exponential functionals of Lévy processes
• A Wiener-Hopf type factorization for the exponential functional of Lévy processes
• Exponential functionals of Brownian motion and related processes