On the Mellin transforms of the perpetuity and the remainder variables associated to a subordinator

DOI10.3150/12-BEJSP01zbMATH Open1287.60096arXiv1309.7801OpenAlexW4299587543MaRDI QIDQ373531FDOQ373531

Authors: Francis Hirsch, Marc Yor 

Publication date: 17 October 2013

Published in: Bernoulli (Search for Journal in Brave)

Abstract: Results about the laws of the perpetuity and remainder variables associated to a subordinator are presented, with particular emphasis on their Mellin transforms, and multiplicative infinite divisibility property. Previous results by Bertoin-Yor (Electron. Commun. Probab. 6 (2001) 95-106) are incorporated in our discussion; important examples when the subordinator is the inverse local time of a diffusion are exhibited. Results of Urbanik (Probab. Math. Statist. 15 (1995) 493-513) are also discussed in detail; they appear to be too little known, despite the fact that quite a few of them have priority upon other works in this area.

Full work available at URL: https://arxiv.org/abs/1309.7801

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zbMATH Keywords

Mellin transforminverse local timemultiplicative infinite divisibility

Mathematics Subject Classification ID

Diffusion processes (60J60) Local time and additive functionals (60J55)

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Cited In (12)

• Moment problems related to Bernstein functions
• Multifractal processes: definition, properties and new examples
• 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
• Fractional Moments of Solutions to Stochastic Recurrence Equations
• The log-Lévy moment problem via Berg–Urbanik semigroups
• Explicit Formulae in Probability and in Statistical Physics
• Weak similarity orbit of (log)‐self‐similar Markov semigroups on the Euclidean space
• Bernstein-gamma functions and exponential functionals of Lévy processes
• Implicit renewal theory for exponential functionals of Lévy processes
• Exponential functional of Lévy processes: generalized Weierstrass products and Wiener-Hopf factorization

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